RT Journal Article
SR Electronic
T1 Do Daily Dividends Reduce Stock Return Volatility and Value-at-Risk?
JF The Journal of Private Equity
FD Institutional Investor Journals
SP 75
OP 85
DO 10.3905/jpe.2018.1.072
VO 21
IS 4
A1 MD. Noman Siddikee
YR 2018
UL https://pm-research.com/content/21/4/75.abstract
AB This study offers a daily dividend computation model and extends the two conventional arithmetic and logarithmic return equations to include daily dividend. The author examines the effect of daily dividend inclusion on the daily return volatility and Value-at-Risk (VaR) of the five stocks listed in the Dhaka Stock Exchange (DSE) Limited. The research shows that in most cases the inclusion of daily dividends significantly reduces the daily volatility of returns. Also, with a few exceptions, the VaR of the remaining stocks’ return declines substantially, decreasing the maximum expected loss of return. Finally, after inclusion of a daily dividend, the author finds that a more extended holding period offers a proportionately lower VaR of the daily return.TOPICS: Private equity, volatility measures, VAR and use of alternative risk measures of trading risk, statistical methods