Variance matters (in stochastic dividend discount models)
AbstractStochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more precise view on this issue proposing a closed-form formula for the variance of stock prices.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1311.0236.
Date of creation: Nov 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-09 (All new papers)
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