Asset Details
Do you wish to reserve the book?
Stochastic dividend discount model: covariance of random stock prices
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Stochastic dividend discount model: covariance of random stock prices
Do you wish to request the book?
Stochastic dividend discount model: covariance of random stock prices
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Stochastic dividend discount model: covariance of random stock prices
2019
Overview
The price of common stocks, defined as the sum of all future discounted dividends, is at the heart of both the dividend discount models (DDM) and the stochastic DDM (SDDM). Gordon and Shapiro (Manag Sci 3:102–110
1956
) assume a deterministic and constant dividends’ growth rate, whereas Hurley and Johnson (Financ Anal J 4:50–54
1994
, J Portf Manag 25(1)27–31
1998
) and Yao (J Portf Manag 23(4)99–103
1997
) introduce randomness by letting the growth rate be a finite-state random variable and random dividends behave in a Markovian fashion. In this second case expected stock price is determined, but what if higher-order moments are needed? In order to address a number of financial topics, the present contribution presents an explicit formula for the covariance between (possibly) correlated stock prices.
Publisher
Springer US,Springer Nature B.V
