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
β¦ LIBER β¦
Self-consistent asset pricing models
β Scribed by Y. Malevergne; D. Sornette
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 651 KB
- Volume
- 382
- Category
- Article
- ISSN
- 0378-4371
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