In this paper, we propose a new model of the value of option to pay dividend in aggregate stock market. This study is different from the previous studies in two perspectives: first, we utilize partial differential equations (PDEs), an option pricing framework and the Ito’s lemma to derive the closed-form solutions regarding the value of option to pay dividend. Second, we try to connect the value option to pay dividend to the optimal dividend policy, leading to the explanation how optimal dividend policy is actually determined by firms. The results show new perspective to understand the dividend puzzle. In addition, through the comparative static analyses, some useful managerial implications are derived and they can be used not only for the investment purpose, but also for the valuation of firms.
Key words: Option to pay dividend, Dividend policy, Aggregate dividend, Opportunity cost
학회소식
공지사항
[2011년 제 4차] The Value of Option to Pay Dividend
작성자 : 관리자
조회수 : 1003
게시일 :
2011-12-07