Posts Tagged ‘Dividendos

03
Oct
11

Paper: Equity Yields

Equity Yields

Abstract
We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help predict other measures of economic growth such as consumption growth. We relate the dynamics of growth expectations to recent events such as the financial crisis and the earthquake in Japan.

Link al Paper

22
Feb
11

Paper: Aseguradora y dividendos

Optimal dividend control for a generalized risk model with investment incomes and debit interest

Abstract

This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when the reserve drops below the critical value. The company controls the dividend pay-out dynamically with the objective to maximize the expected total discounted dividends until ruin. We show that that the optimal strategy is a band strategy and it is optimal to pay no dividends when the reserve is negative.

Link al Paper

12
Apr
10

las variables demográficas y su valor predictivo

En Vox hay una reseña de un trabajo que investiga el valor predictivo (sobre los retornos) de una variable demográfica: el ratio entre adultos de mediana edad y jóvenes adultos.

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fundamentals perform better in predicting returns as the predictive horizon gets longer. In particular, the dynamic dividend growth model (Campbell-Shiller 1988) suggests that the relevant fundamental to capture the information component in stock market returns is the dividend-price ratio. This variable regularly plays an important role in recent empirical literature that has replaced the long tradition of the efficient market hypothesis with a view of predictability of returns

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Intuitive reasoning hints at demography as an important variable to determine the long-run behaviour of the stock market, while it is difficult to imagine a relationship between high-frequency fluctuations in stock market prices and a slow-moving trend determined by demographic factors.

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In a recent CEPR Discussion Paper (Favero et al. 2010), we take the Geanakopoulos et al. model to the data via the conjecture that fluctuations in the middle-aged-to-young ratio could capture a slowly evolving mean in the dividend price ratio within the dynamic dividend growth model.

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El paper se llama Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns.

11
Jan
10

Un poco de Psicologia…

The Phy-Fi Blog tiene un postde behavioral finance– sobre la psicologia de los dividendos (el pago de los mismos).  De lectura comoda, sin dejar de ser critica (Palo para M&M: Miller y Modigliani).

(…) So, a change in dividend policy may often indicate a change in the company’s fortunes. A cut in dividends will often signal reduced earnings – although it sometimes indicates that there are better earnings enhancing opportunities around. Similarly an unexpectedly raised dividend will often see a share price surge – even though this often indicates that the management have run out of ideas about how to deploy their spare cash, which isn’t exactly a positive sign.




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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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