We assess the empirical implications of the valuation model for equity prices developed in Ohlson (1995), by accounting for residual income information dynamics. A key assumption of the Ohlson (1995) residual income model stipulates that next period t + 1 residual income is a linear function of...

We extend the constant discount factor model with intrinsic bubbles developed in Froot and Obstfeld (1991) to account for serial correlation in dividend growth rates. We derive an exact analytical expression for both the present value stock price and an intrinsic bubble component when dividend...

We study the constant discount rate present value model for stock pricing in a stochastic setting where the exogenous dividend stream is modeled as a random walk with innovations drawn from the family of stable distributions. We derive an exact analytical solution for the fundamental stock...

We study a consumption-based asset pricing model with incomplete information and a- stable shocks. Incomplete information leads to a non-Gaussian filtering problem. Bayesian updating generates fluctuating confidence in the agents' estimate of the persistent component of the dividends' growth...

We study risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model (International ICAPM). The systematic risk in this model comes from covariance of Frontier market stock index returns with world...

We examine US stock index return and volatility spillovers on the mean and volatility of stock index returns of 21 Frontier markets. We entertain potential time-variation in spillovers in mean returns by considering a time-varying parameter (TVP) model. Spillovers in volatility are modeled by...

We study risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model (International ICAPM). The systematic risk in this model comes from covariance of Frontier market stock index returns with world...

We study fluctuations in stock prices using a framework derived from the present value model augmented with a macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in addition to traditional cash dividends, other payouts...

We study the consumption based asset pricing model in a discrete-time pure exchange setting with incomplete information. Incomplete information leads to a filtering problem which agents solve using the Kalman filter. We characterize the solution to the asset pricing problem in such a setting....