Covariance of random stock prices in the Stochastic Dividend Discount Model

Preprint English OPEN
Agosto, Arianna; Mainini, Alessandra; Moretto, Enrico;
  • Subject: Quantitative Finance - Pricing of Securities | 91B25

Dividend discount models have been developed in a deterministic setting. Some authors (Hurley and Johnson, 1994 and 1998; Yao, 1997) have introduced randomness in terms of stochastic growth rates, delivering closed-form expressions for the expected value of stock prices... View more
  • References (10)

    [1] Agosto, A,. Moretto E. Variance matters (in stochastic dividend discount models). Ann Finance 11, 283-295 (2015) doi:10.1007/s10436-014-0257-6

    [2] D'Amico, G.: A semi-Markov approach to the stock valuation problem. Ann Finance 9(4), 589-610 (2013) doi:10.1007/s10436-012-0206-1

    [3] D'Amico, G.: Generalized semi-Markovian dividend discount model: risk and return. arXiv. (2016). Accessed 13 July 2016

    [4] Gordon, M.J., Shapiro E.: Capital equipment analysis: the required rate of profit. Manag Sci 3, 102-110 (1956) doi:10.1287/mnsc.3.1.102

    [5] Hurley, W.J.: Calculating firstmoments and confidence intervals for generalized stochastic dividend discount models. J Math Finance 3, 275279 (2013). doi:10.4236/jmf.2013.32027

    [6] Hurley, W.J., Johnson L.D.: A realistic dividend valuation model. Financ Anal J 50(4), 50-54 (1994)

    [7] Hurley, W.J., Johnson L.D.: Generalized Markov dividend discount models. J Portf Manag 25(1), 27-31 (1998) doi:10.3905/jpm.1998.409658

    [8] Larson, K.D., Gonedes, N.J.: Business combinations: an exchange ratio determination model. Accounting Review 444, 720-28 (1969)

    [9] Williams, J.B.: The Theory of Investment Value. Cambridge: Harvard University Press (1938)

    [10] Yao, Y.F.: A trinomial dividend valuation model. J Portf Manag 23(4), 99-103 (1997) doi:10.3905/jpm.1997.409618

  • Metrics
Share - Bookmark