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JOURNAL OF ACCOUNTING AND FINANCE
Measuring Corporate Dividend Risk Using a Monte Carlo Simulation Model
Author(s): Salwa Ammar, Amira Annabi, Thaddeus Sim, Ronald Wright
Citation: Salwa Ammar, Amira Annabi, Thaddeus Sim, Ronald Wright, (2020) "Measuring Corporate Dividend Risk Using a Monte Carlo Simulation Model," Journal of Accounting and Finance, Vol. 20, ss. 4, pp. 135-149
Article Type: Research paper
Publisher: North American Business Press
Abstract:
Investors have long used historical stock prices to evaluate future returns, as well as the risk associated with the estimated returns. In this paper, we propose a method for evaluating risk based on historical dividend payments. We develop a Monte Carlo simulation to generate future dividends and calculate the mean internal rate of return. We apply data analytical techniques to model estimates and use them to define a dividend risk ratio. We conclude that the newly defined dividend risk ratio provides essential information to dividend investors and is a useful tool in portfolio management.
