Effect of daily dividend on arithmetic and logarithmic return
I have extended the arithmetic and logarithmic equations of the daily return by including daily dividend. To do this, firstly, I have mathematically broadened the scope of the two mostly used formulas of daily return by including daily dividend. Next, I have developed a couple of daily dividend esti...
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2018-12-01
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| Series: | Journal of Finance and Data Science |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918818300485 |
| _version_ | 1797203212595363840 |
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| author | Md. Noman Siddikee |
| author_facet | Md. Noman Siddikee |
| author_sort | Md. Noman Siddikee |
| collection | DOAJ |
| description | I have extended the arithmetic and logarithmic equations of the daily return by including daily dividend. To do this, firstly, I have mathematically broadened the scope of the two mostly used formulas of daily return by including daily dividend. Next, I have developed a couple of daily dividend estimation models from both pre and post stockholders' perspective. While developing those models, I have functionally used the compounding factors of time value theory. Finally, I have empirically examined the statistical robustness of Model-1. The findings of the study revealed that inclusion of daily dividend significantly increased the daily and monthly arithmetic and logarithmic returns of the securities. However, after inclusion of daily dividend, the long run variances of the both arithmetic return series remains same whereas the long run variances of both logarithmic return series significantly turns down to around zero percent direct a sharp decline of the risk of logarithmic return. Moreover, after inclusion of daily dividend the Value at Risk (VaR) of the daily logarithmic return declines sharply validates Model 1 for computing the daily logarithmic return. Keywords: Arithmetic return, Logarithmic return, Daily dividend, JEL code: G12, G32 |
| first_indexed | 2024-04-24T08:15:45Z |
| format | Article |
| id | doaj.art-1c3c92bc0b2e49299c9c4fe8177c6a37 |
| institution | Directory Open Access Journal |
| issn | 2405-9188 |
| language | English |
| last_indexed | 2024-04-24T08:15:45Z |
| publishDate | 2018-12-01 |
| publisher | KeAi Communications Co., Ltd. |
| record_format | Article |
| series | Journal of Finance and Data Science |
| spelling | doaj.art-1c3c92bc0b2e49299c9c4fe8177c6a372024-04-17T03:52:27ZengKeAi Communications Co., Ltd.Journal of Finance and Data Science2405-91882018-12-0144247272Effect of daily dividend on arithmetic and logarithmic returnMd. Noman Siddikee0Department of Business Administration, Army Institute of Business Administration, Savar, Dhaka-1344, BangladeshI have extended the arithmetic and logarithmic equations of the daily return by including daily dividend. To do this, firstly, I have mathematically broadened the scope of the two mostly used formulas of daily return by including daily dividend. Next, I have developed a couple of daily dividend estimation models from both pre and post stockholders' perspective. While developing those models, I have functionally used the compounding factors of time value theory. Finally, I have empirically examined the statistical robustness of Model-1. The findings of the study revealed that inclusion of daily dividend significantly increased the daily and monthly arithmetic and logarithmic returns of the securities. However, after inclusion of daily dividend, the long run variances of the both arithmetic return series remains same whereas the long run variances of both logarithmic return series significantly turns down to around zero percent direct a sharp decline of the risk of logarithmic return. Moreover, after inclusion of daily dividend the Value at Risk (VaR) of the daily logarithmic return declines sharply validates Model 1 for computing the daily logarithmic return. Keywords: Arithmetic return, Logarithmic return, Daily dividend, JEL code: G12, G32http://www.sciencedirect.com/science/article/pii/S2405918818300485 |
| spellingShingle | Md. Noman Siddikee Effect of daily dividend on arithmetic and logarithmic return Journal of Finance and Data Science |
| title | Effect of daily dividend on arithmetic and logarithmic return |
| title_full | Effect of daily dividend on arithmetic and logarithmic return |
| title_fullStr | Effect of daily dividend on arithmetic and logarithmic return |
| title_full_unstemmed | Effect of daily dividend on arithmetic and logarithmic return |
| title_short | Effect of daily dividend on arithmetic and logarithmic return |
| title_sort | effect of daily dividend on arithmetic and logarithmic return |
| url | http://www.sciencedirect.com/science/article/pii/S2405918818300485 |
| work_keys_str_mv | AT mdnomansiddikee effectofdailydividendonarithmeticandlogarithmicreturn |