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...

This paper uses an artificial neural network (ANN) model to forecast broad dividends, and computes fundamental stock prices with a stochastic discount factor. Broad dividends are used because they measure payouts to shareholders more accurately. Since nonlinearity is found in broad dividends, an...

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...