Modelling Ex-Dividend Share Prices
The price change of a share over the short time period between a dividend being declared (cumdividend) and its payment (ex-dividend) is modelled. The stochastic multiplicative change, X, is found to depend on the known dividend yield, r, in such a way that the distribution of X/(1-r) does not depend on r. Given this latter distribution, it would be possible to make sound financial decisions with regard to purchasing shares either cum-dividend or ex-dividend. The suggested model for X/(1-r) is Gamma with parameters not depending on V and this indicates that X itself is Gamma although the parameters for its distribution will then depend on V. Empirical work is undertaken to estimate any parameters and to check the model specification, via maximum likelihood. The estimation and analysis suggests that, over the short horizon, a multiplicative Gamma model fits the data very well.
Michael Cain
国际会议
10th China International Academic Seminar for Universities(第十届中国高校管理暨学术国际研讨会)
北京
英文
185-191
2010-07-17（万方平台首次上网日期，不代表论文的发表时间）