Financial Time Series Toolbox

Calculate the Dividend Rate

The last part of the task is to calculate the dividend rate from the stock price data. Calculate the dividend rate by dividing the dividend payments by the corresponding closing stock prices.

First check to see if you have the stock price data on all the dividend dates:

• datestr(d0.dates, 2)
  ans =
  
  04/15/99
  06/30/99
  10/02/99
  12/30/99
  t0(datestr(d0.dates))
  ans = 
   
      'desc:'          'Inc'                      ''
      'freq:'          'Daily (1)'                ''
                 ''               ''              ''
      'dates:  (3)'    'Close:  (3)'    'Spot:  (3)'
      '04/15/99'       '10.3369'        '10.3369'   
      '06/30/99'       '11.4707'        '11.4707'   
      '12/30/99'       '11.2244'        '11.2244'   
  

Note that stock price data for October 2, 1999 does not exist. The fillts function can overcome this situation; fillts allows you to insert a date and interpolate a value for the date from the existing values in the series. There are a number of interpolation methods. See fillts in the Function Reference for details.

Use fillts to create a new time series containing the missing date from the original data series. Then set the frequency indicator to daily:

• t1 = fillts(t0,'nearest',d0.dates);
  t1.freq = 'd';
  

Calculate the dividend rate:

• tdr = d0./fts2mtx(t1.Close(datestr(d0.dates)))
  tdr = 
   
      'desc:'          'Inc'            
      'freq:'          'Unknown (0)'    
                 ''                   ''
      'dates:  (4)'    'Dividends:  (4)'
      '04/15/99'       '0.0193'         
      '06/30/99'       '0.0305'         
      '10/02/99'       '0.0166'         
      '12/30/99'       '0.0134'         
  

Plot the Results

Technical Analysis