کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10476352 | 929777 | 2005 | 41 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stock valuation in dynamic economies
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This article develops and empirically implements a stock valuation model. The model makes three assumptions: (i) dividend equals a fixed fraction of net earnings-per-share plus noise, (ii) the economy's pricing kernel is consistent with the Vasicek term structure of interest rates, and (iii) the expected earnings growth rate follows a mean-reverting stochastic process. The resulting stock valuation formula has three variables as input: net earnings-per-share, expected earnings growth, and interest rate. Using a sample of stocks, our empirical exercise shows that the derived valuation formula produces significantly lower pricing errors than existing models, both in- and out-of-sample. Modeling earnings growth dynamics properly is the most crucial for achieving better performance, while modeling the discounting dynamics properly also makes a significant difference.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 8, Issue 2, May 2005, Pages 111-151
Journal: Journal of Financial Markets - Volume 8, Issue 2, May 2005, Pages 111-151
نویسندگان
Gurdip Bakshi, Zhiwu Chen,