Search Results - subject:"Present Value Model"

Stationary bubble equilibria in rational expectation models

Gouriéroux, Christian; Jasiak, Joann; Monfort, Alain - 2016

Persistent link: https://www.econbiz.de/10012182001

Dividend growth predictability and the price-dividend ratio

Piatti, Ilaria; Trojani, Fabio - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 130-158

Persistent link: https://www.econbiz.de/10012156570

On the cross-sectional relation between exchange rates and future fundamentals

Kharrat, Sabrine; Hammami, Yacine; Fatnassi, Ibrahim - In: Economic modelling 89 (2020), pp. 484-501

Persistent link: https://www.econbiz.de/10012426210

Regime switching in the present value models : a backward-solving method

Kim, Jan R.; Chung, Keunsuk - In: Finance research letters 32 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012430760

Cash-flow or return predictability at long horizons? : the case of earnings yield

Maio, Paulo; Xu, Danielle - In: Journal of empirical finance 59 (2020), pp. 172-192

Persistent link: https://www.econbiz.de/10012437972

Stock prices, dividends, and structural changes in the long-term : the case of U.S.

Esteve García, Vicente; Navarro Ibáñez, Manuel; … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012656930

Knightian uncertainty and stock-price movements: Why the REH present-value model failed empirically

Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015

accounts of REH models' empirical difficulties. We consider a present-value model based on a New Rational Expectations …

Persistent link: https://www.econbiz.de/10011279476

Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices

Goliński, Adam; Madeira, João; Rambaccussing, Dooruj - Department of Economics Studies, University of Dundee - 2015

that expected returns should be modelled as an ARFIMA process and we show this improves the forecast ability of the present-value … model in-sample and out-of-sample. …

Persistent link: https://www.econbiz.de/10011204291

Estimating rational stock-market bubbles with sequential Monte Carlo methods

Rotermann, Benedikt; Wilfling, Bernd - Center for Quantitative Economics (CQE), … - 2015

In the context of the present-value stock-price model, we propose a new rational parametric bubble specification that is able to generate periodically recurring and stochastically deflating trajectories. Our bubble model is empirically more plausible than its predecessor variants and has neatly...

Persistent link: https://www.econbiz.de/10011277250

Fractional integration of the price-dividend ratio in a present-value model of stock prices

Goliñski, Adam; Madeira, João; Rambaccussing, Dooruj - 2015

Persistent link: https://www.econbiz.de/10010513447