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 jpe.2018.1.072
DO 10.3905/jpe.2018.1.072
A1 MD. Noman Siddikee
YR 2018
UL https://pm-research.com/content/early/2018/08/10/jpe.2018.1.072.abstract
AB This study offers a daily dividend computation model and extends the two conventional arithmetic and logarithmic return equations to include daily dividend. We examine 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. Our research shows that in most cases the inclusion of daily dividends significantly reduces the daily volatility of returns. Also, with a few exceptions, the value at risk (VaR) of the remaining stocks’ return declines substantially, decreasing the maximum expected loss of return. Finally, after inclusion of a daily dividend, we find that a more extended holding period offers a proportionately lower VaR of the daily return.