Analytical cyclical price-dividend ratios (2012 version)

Alessandro Sbuelz; Fausto Mignanego

Analytical cyclical price-dividend ratios (2012 version)

Alessandro Sbuelz
, Fausto Mignanego

Research output: Working paper

Abstract

How non-linear are (log) price-dividend ratios in the fundamental\r\nstate variables? The accuracy log-linear approximations lies\r\nat the heart of much contemporary asset pricing. We analytic-\r\nally solve a parsimonious partial-equilibrium valuation model and\r\nuncover preliminary evidence suggesting that some caution be in\r\norder only if the fundamentals are extremely persistent.

Original language	English
Publisher	Vita e Pensiero
Pages	1-37
Number of pages	37
ISBN (Print)	978-88-343-2294-9
Publication status	Published - 2012

Keywords

Stock pricing
non-linearity
persistence
risk premia

Cite this

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N2 - How non-linear are (log) price-dividend ratios in the fundamental\r\nstate variables? The accuracy log-linear approximations lies\r\nat the heart of much contemporary asset pricing. We analytic-\r\nally solve a parsimonious partial-equilibrium valuation model and\r\nuncover preliminary evidence suggesting that some caution be in\r\norder only if the fundamentals are extremely persistent.

AB - How non-linear are (log) price-dividend ratios in the fundamental\r\nstate variables? The accuracy log-linear approximations lies\r\nat the heart of much contemporary asset pricing. We analytic-\r\nally solve a parsimonious partial-equilibrium valuation model and\r\nuncover preliminary evidence suggesting that some caution be in\r\norder only if the fundamentals are extremely persistent.

KW - Stock pricing

KW - non-linearity

KW - persistence

KW - risk premia

KW - Stock pricing

KW - non-linearity

KW - persistence

KW - risk premia

UR - https://publicatt.unicatt.it/handle/10807/31514

M3 - Working paper

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BT - Analytical cyclical price-dividend ratios (2012 version)

PB - Vita e Pensiero

ER -

Analytical cyclical price-dividend ratios (2012 version)

Abstract

Keywords

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