DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL

被引：1

作者：

Gankhuu, Battulga ^{[1
]}

Kleinow, Jacob ^{[2
]}

Lkhamsuren, Altangerel ^{[3
]}

Horsch, Andreas ^{[4
]}

机构：

[1] Natl Univ Mongolia, Dept Appl Math, Ulan Bator 14201, Mongolia

[2] Zeb Consulting, Friedrichstr 78, D-10117 Berlin, Germany

[3] German Mongolian Inst Resources & Technol, Fac Math Comp & Nat Sci, GMIT Campus,2nd Khoroo, Nalaikh 12790, Mongolia

[4] Tech Univ Bergakad Freiberg, Fac Business Adm, Schlosspl 1, D-09599 Freiberg, Germany

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2022年 / 25卷 / 03期

关键词：

Stochastic dividend discount model; compound nonhomogeneous poisson process; random time of firm default; ML estimators; VALUATION; EARNINGS;

D O I：

10.1142/S0219024922500145

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study introduces a stochastic multi-period dividend discount model (DDM) that includes (i) a compound nonhomogenous Poisson process for dividend growth and (ii) the probability of firm default. We obtain maximum likelihood (ML) estimators and confidence interval formulas of our model parameters. We apply the model to a set of firms from the S&P 500 index using historical dividend and price data over a 42-year period. Interestingly, stock price estimations calculated with the model are close to the observable prices. Overall, we prove that the model can be a useful tool for stock pricing.

引用

页数：36

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