We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other’s deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among all admissible dividend strategies) until ruin of both companies, by extending...

I document that dividend growth and consumption growth comove procyclically. This new stylized fact empirically resolves the “Duffee Puzzle”—stock returns and consumption growth covary procyclically (Duffee, 2005)—but contradicts extant theoretical assumptions in asset pricing models. I then design a new data generating process (DGP) for the joint consumption-dividend dynamics which fits the pr...

An income tax is equivalent to a uniform tax on all expenditures, including expenditures on commodity tax payments. This will compound the tax being applied to any taxed commodity. In the presence of an income tax, therefore, any expenditure tax (including a pollution tax) will produce a higher effective tax than its nominal tax rate would suggest. For example, a nominal Pigouvian tax applied t...

We provide a comprehensive treatement of option pricing with particular emphasis on the valuation of American options on dividend-paying assets. We begin by reviewing valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Itô process and the interest rate is stochastic. Then this analysis is extended to the valuation of American ...

The study of dividend policy has captured the attention of finance scholars since the middle of the last century. There is a literature gap as very few studies have been carried out in the UAE and no study investigated the determinants of dividend payout policy in the UAE banking sector. The objective of this study is to investigate the impact of liquidity and profitability on the dividend poli...

Dividend is the return that an investor receives when purchasing a company’s shares. The decision to pay these dividends to shareholders concerns several other groups of people, such as financial managers, consulting firms, individual and institutional investors, government and monitoring authorities, and creditors, just to name a few. The prediction and modelling of this decision has received ...

Using quarterly data and benchmarks based on past performance-characteristics, I find little evidence that earnings change following 661 dividend decreases and 872 dividend omissions between 1980 and 1998. The exception is that earnings deteriorate during the quarter of dividend omissions, but they recover within a couple of quarters. My results further suggest that the lack of a more pronounce...

German dividends typically carry a tax credit which makes the dividend worth 42.86% more to a taxable German shareholder than to a tax-exempt or foreign shareholder. This results in a penalty for foreign investors who buy and hold German dividend-paying stocks. I document that, as a result of the credit, the ex-day drop exceeds the dividend by more than one-half of the tax credit, and show that...