๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Constructing Asset Pricing Models With Specific Factor Loadings

โœ Scribed by IAN DAVIDSON; QIAN GUO; XIAOJING SONG; MARK TIPPETT


Book ID
118712743
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
249 KB
Volume
48
Category
Article
ISSN
0001-3072

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This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model when the growth rate of the endowment is a first-order Gaussian autoregression. It determines the conditions under which this solution is bounded. The findings are useful in allowing comparison