Abstract
How non-linear are (log) price-dividend ratios in the fundamental
state variables? The accuracy log-linear approximations lies
at the heart of much contemporary asset pricing. We analytic-
ally solve a parsimonious partial-equilibrium valuation model and
uncover preliminary evidence suggesting that some caution be in
order only if the fundamentals are extremely persistent.
| Lingua originale | English |
|---|---|
| Editore | Vita e Pensiero |
| Numero di pagine | 37 |
| ISBN (stampa) | 978-88-343-2294-9 |
| Stato di pubblicazione | Pubblicato - 2012 |
Keywords
- Stock pricing, risk premia, persistence, non-linearity