Donaldson, R Glen; Kamstra, Mark - In: Review of Financial Studies 9 (1996) 2, pp. 333-83
We develop a new procedure to forecast future cash flows from a financial asset and then use the present value of our cash flow forecasts to calculate the asset's fundamental price. As an example, we construct a nonlinear ARMA-ARCH-Artificial Neural Network Model to obtain out-of-sample dividend...