OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
2010; Wiley; Volume: 20; Issue: 2 Linguagem: Inglês
10.1111/j.1467-9965.2010.00399.x
ISSN1467-9965
Autores Tópico(s)Corporate Finance and Governance
ResumoMathematical FinanceVolume 20, Issue 2 p. 313-325 OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS Mohamed Belhaj, Mohamed Belhaj Ecole Centrale de Marseille and GREQAMSearch for more papers by this author Mohamed Belhaj, Mohamed Belhaj Ecole Centrale de Marseille and GREQAMSearch for more papers by this author First published: 23 March 2010 https://doi.org/10.1111/j.1467-9965.2010.00399.xCitations: 42 Address correspondence to Mohamed Belhaj, GREQAM, Centre de la vieille charité, 2 rue de la charité, 13236 Marseille Cedex 02, France; e-mail: mbelhaj@ec-marseille.fr. I would like to thank Jean Charles Rochet, Stéphane Villeneuve, seminar participants at International Stochastic Finance Conference 2004, and two anonymous referees for useful comments. Any errors remain my responsibility. Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Abstract We consider a model in which a firm faces two types of liquidity risks: a Brownian risk and a Poisson risk. The firm chooses a dividend policy to maximize shareholder value. We characterize the optimal firm value and we show that the optimal dividend policy is a barrier strategy: the firm keeps cash inside when the cash reserves level is less than a critical threshold and pays cash in excess of this threshold. We also analyze the problem of insurance against the Poisson risk. We find that it is optimal for the firm to buy full insurance when its cash reserves are above a critical threshold and not to insure otherwise. Citing Literature Volume20, Issue2April 2010Pages 313-325 RelatedInformation
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