Gürkaynak, Refet S. - Federal Reserve Board (Board of Governors of the … - 2005
casual commentators attributed this
steep rise in stock prices to the presence of a bubble. Can such a claim be
substantiated …-dividend price of the asset, and d
t
is the
payoff received from the asset. In this paper the focus is on stock prices, thus
P
t
is a …
of volatility of stock prices.
3. The discount rate is constant. Note that this is a restriction on r,rather
than on β …