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

Issued Date

2019-12-01

Resource Type

Article

ISSN

16871847
16871839

DOI

10.1186/s13662-019-2231-0

Other identifier(s)

2-s2.0-85069195666

Rights

Mahidol University

Rights Holder(s)

SCOPUS

Bibliographic Citation

Advances in Difference Equations. Vol.2019, No.1 (2019)

Suggested Citation

P. Vatiwutipong, N. Phewchean A study of dividend yield model under stochastic earning yield environment in stock exchange of Thailand. Advances in Difference Equations. Vol.2019, No.1 (2019). doi:10.1186/s13662-019-2231-0 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/51186

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Thesis

Title

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

Author(s)

P. Vatiwutipong
 N. Phewchean

Other Contributor(s)

South Carolina Commission on Higher Education
 Mahidol University

Abstract

© 2019, The Author(s). 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.

Keyword(s)

Mathematics

Availability

URI

https://repository.li.mahidol.ac.th/handle/123456789/51186

Collections

Scopus 2019