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

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. …

This paper proposes a modified present-value model that takes into account the fact that movements in the price … into account non-stationarity of the price-rent ratio. To estimate this modified present-value model, we use the unobserved … market. We also find that the MSAs that display larger deviation from the present-value model are more sensitive to mortgage …

This paper proposes a modified present-value model that takes into account the fact that movements in the price … into account non-stationarity of the price-rent ratio. To estimate this modified present-value model, we use the unobserved … market. We also find that the MSAs that display larger deviation from the present-value model are more sensitive to mortgage …

cross-section version of checking the random walk model and the present value model holds up well. In contrast, using three … different samples that go as far back as 1926, the present value model is rejected decisively at moderate and long horizons. We … consistent with the present value model, or that models of discount rates are too limited to allow the present value model to be …

equilibrium outcome of a present-value model of a partial equilibrium asset approach when economic fundamentals follow exogenous …

- 2009. We adopt the Ricardian Present Value Model (PVM) as the theoretical framework, and therefore focus on the …