Related papers: Non-Stationary Dividend-Price Ratios

In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…

One of the most important studies in finance is to find out whether stock returns could be predicted. This research aims to create a new multivariate model, which includes dividend yield, earnings-to-price ratio, book-to-market ratio as…

Researchers have constantly asked whether stock returns can be predicted by some macroeconomic data. However, it is known that macroeconomic data may exhibit nonstationarity and/or heavy tails, which complicates existing testing procedures…

Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…

Dividend discount models have been developed in a deterministic setting. Some authors (Hurley and Johnson, 1994 and 1998; Yao, 1997) have introduced randomness in terms of stochastic growth rates, delivering closed-form expressions for the…

We introduce distributional dynamic programming (DP) methods for optimizing statistical functionals of the return distribution, with standard reinforcement learning as a special case. Previous distributional DP methods could optimize the…

Algorithms developed under stationary Markov Decision Processes (MDPs) often face challenges in non-stationary environments, and infinite-horizon formulations may not directly apply to finite-horizon tasks. To address these limitations, we…

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…

We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…

By comparing the original equations with the corresponding stationary ones, the moderate deviation principle (MDP) is established for unbounded additive functionals of several different models of distribution dependent SDEs, with…

We study model-free reinforcement learning (RL) algorithms in episodic non-stationary constrained Markov Decision Processes (CMDPs), in which an agent aims to maximize the expected cumulative reward subject to a cumulative constraint on the…

A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…

In this paper, we give a new approximate dynamic programming (ADP) method to solve large-scale Markov decision programming (MDP) problem. In comparison with many classic ADP methods which have large number of constraints, we formulate an…

The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with…

The Moderate Deviations Principle (MDP) is well-understood for sums of independent random variables, worse understood for stationary random sequences, and scantily understood for random fields. An upper bound for a new class of random…

We consider approximate dynamic programming for the infinite-horizon stationary $\gamma$-discounted optimal control problem formalized by Markov Decision Processes. While in the exact case it is known that there always exists an optimal…

Determination of the correct mix of dividend and retained earnings and its effect on profitability has been a subject of controversy in financial management literature. This paper seeks to contribute to the ongoing debate by examining the…

This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin time. The MV objective involves an integral form over a…