Analytical cyclical price-dividend ratios (2012 version)

Alessandro Sbuelz; Fausto Mignanego

Analytical cyclical price-dividend ratios (2012 version)

Risultato della ricerca: Working paper

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

Altri file e collegamenti

Link a IRIS PubliCatt

Fingerprint Entra nei temi di ricerca di 'Analytical cyclical price-dividend ratios (2012 version)'. Insieme formano una fingerprint unica.

Cita questo

@techreport{c1a04295a38749b6bdec8fc949c60d71,

title = "Analytical cyclical price-dividend ratios (2012 version)",

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.",

keywords = "Stock pricing, risk premia, persistence, non-linearity, Stock pricing, risk premia, persistence, non-linearity",

author = "Alessandro Sbuelz and Fausto Mignanego",

year = "2012",

language = "English",

isbn = "978-88-343-2294-9",

publisher = "Vita e Pensiero",

address = "Italy",

type = "WorkingPaper",

institution = "Vita e Pensiero",

}

TY - UNPB

T1 - Analytical cyclical price-dividend ratios (2012 version)

AU - Sbuelz, Alessandro

AU - Mignanego, Fausto

PY - 2012

Y1 - 2012

N2 - 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.

AB - 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.

KW - Stock pricing, risk premia, persistence, non-linearity

UR - http://hdl.handle.net/10807/31514

M3 - Working paper

SN - 978-88-343-2294-9

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

PB - Vita e Pensiero

ER -