Arbeitspapier
A stochastic Gordon-Shapiro formula with excess volatility
It is well-known that stock prices fluctuate far more than dividends. Traditional valuation methods are not able to depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive cash flows process with random coefficients. We show that the model is free of arbitrage and that the transversality condition is met and we prove a valuation equation that differs from the classical Gordon-Shapiro version: Cost of capital (respectively dividend-price ratio) is stochastic and our model represents excess volatility. We discuss whether our assumptions are compatible with an equilibrium.
- Language
-
Englisch
- Bibliographic citation
-
Series: arqus Discussion Paper ; No. 257
- Classification
-
Wirtschaft
- Subject
-
Börsenkurs
Ausschüttungspolitik
Volatilität
Kapitalwertmethode
Autokorrelation
Cash Flow
Arbitrage
Kapitalkosten
Stochastischer Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Kruschwitz, Lutz
Löffler, Andreas
- Event
-
Veröffentlichung
- (who)
-
Arbeitskreis Quantitative Steuerlehre (arqus)
- (where)
-
Berlin
- (when)
-
2020
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kruschwitz, Lutz
- Löffler, Andreas
- Arbeitskreis Quantitative Steuerlehre (arqus)
Time of origin
- 2020
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