Browsing by Author "Battulga Gankhuu, Jacob Kleinow, Altangerel Lkhamsuren, Andreas Horsch"

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    Dividends and Compound Poisson-processes: A new Stochastic Stock Price Model
    (World Scientific, 2022-05-30) Battulga Gankhuu, Jacob Kleinow, Altangerel Lkhamsuren, Andreas Horsch
    This study introduces a stochastic multi-period dividend discount model (DDM) that includes (i) a compound nonhomogenous Poisson process for dividend growth and (ii) the probability of firm default. We obtain maximum likelihood (ML) estimators and confidence interval formulas of our model parameters. We apply the model to a set of firms from the S&P 500 index using historical dividend and price data over a 42-year period. Interestingly, stock price estimations calculated with the model are close to the observable prices. Overall, we prove that the model can be a useful tool for stock pricing.