Equity Valuation Under Stochastic Interest Rates
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References listed on IDEAS
- Dong-Hyun Ahn & Robert F. Dittmar, 2002. "Quadratic Term Structure Models: Theory and Evidence," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 243-288, March.
- Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
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More about this item
KeywordsEquity valuation; residual income valuation; stochastic interest rates; quadratic term structure model in discrete time; mean reverting return on equity;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ACC-2006-06-24 (Accounting & Auditing)
- NEP-ALL-2006-06-24 (All new papers)
- NEP-CFN-2006-06-24 (Corporate Finance)
- NEP-FIN-2006-06-24 (Finance)
- NEP-FMK-2006-06-24 (Financial Markets)
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