A study of dividend yield model under stochastic earning yield environment in stock exchange of Thailand

P. Vatiwutipong; N. Phewchean

doi:10.1186/s13662-019-2231-0

A study of dividend yield model under stochastic earning yield environment in stock exchange of Thailand

Research output: Contribution to journal › Article › peer-review

Abstract

A compound Ornstein–Uhlenbeck process is applied to create a model that can calculate the dividend yield represented in a sample case of Stock Exchange of Thailand index in which earning yield is randomly determined. Parameter estimations are made through the use of least-square technique, while the outcomes are deduced from the Euler–Maruyama method. We use numerical simulation to determine the effectiveness of the models, comparing our newly proposed model with the previous models. The actual dividend yield data is applied for comparison. The results show that our model performs best among the three models being compared.

Original language	English
Article number	291
Journal	Advances in Difference Equations
Volume	2019
Issue number	1
DOIs	https://doi.org/10.1186/s13662-019-2231-0
Publication status	Published - 1 Dec 2019
Externally published	Yes

Keywords

Compound Ornstein–Uhlenbeck process
Dividend yield
Earning yield
Stochastic process

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10.1186/s13662-019-2231-0

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title = "A study of dividend yield model under stochastic earning yield environment in stock exchange of Thailand",

abstract = "A compound Ornstein–Uhlenbeck process is applied to create a model that can calculate the dividend yield represented in a sample case of Stock Exchange of Thailand index in which earning yield is randomly determined. Parameter estimations are made through the use of least-square technique, while the outcomes are deduced from the Euler–Maruyama method. We use numerical simulation to determine the effectiveness of the models, comparing our newly proposed model with the previous models. The actual dividend yield data is applied for comparison. The results show that our model performs best among the three models being compared.",

keywords = "Compound Ornstein–Uhlenbeck process, Dividend yield, Earning yield, Stochastic process",

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N2 - A compound Ornstein–Uhlenbeck process is applied to create a model that can calculate the dividend yield represented in a sample case of Stock Exchange of Thailand index in which earning yield is randomly determined. Parameter estimations are made through the use of least-square technique, while the outcomes are deduced from the Euler–Maruyama method. We use numerical simulation to determine the effectiveness of the models, comparing our newly proposed model with the previous models. The actual dividend yield data is applied for comparison. The results show that our model performs best among the three models being compared.

AB - A compound Ornstein–Uhlenbeck process is applied to create a model that can calculate the dividend yield represented in a sample case of Stock Exchange of Thailand index in which earning yield is randomly determined. Parameter estimations are made through the use of least-square technique, while the outcomes are deduced from the Euler–Maruyama method. We use numerical simulation to determine the effectiveness of the models, comparing our newly proposed model with the previous models. The actual dividend yield data is applied for comparison. The results show that our model performs best among the three models being compared.

KW - Compound Ornstein–Uhlenbeck process

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ER -

A study of dividend yield model under stochastic earning yield environment in stock exchange of Thailand

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Keywords

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