Risk, return and dividends:
We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, together wit...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
12843 |
| Online-Zugang: | kostenfrei |
| Zusammenfassung: | We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines the dynamics of the expected return and the price-dividend ratio. By parameterizing one or more of expected returns, volatility, or prices, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables. Our relations are useful for understanding the risk-return trade-off, as well as characterizing the predictability of stock returns. |
| Beschreibung: | 46 S. graph. Darst. 22 cm |
Internformat
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 12843 | |
| 520 | |a We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines the dynamics of the expected return and the price-dividend ratio. By parameterizing one or more of expected returns, volatility, or prices, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables. Our relations are useful for understanding the risk-return trade-off, as well as characterizing the predictability of stock returns. | ||
| 700 | 1 | |a Liu, Jun |d 1967- |e Verfasser |0 (DE-588)128834811 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
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Datensatz im Suchindex
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| id | DE-604.BV023592761 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:30Z |
| indexdate | 2024-07-09T21:25:13Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908091 |
| oclc_num | 255820900 |
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| owner | DE-521 |
| owner_facet | DE-521 |
| physical | 46 S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Ang, Andrew Verfasser (DE-588)124420907 aut Risk, return and dividends Andrew Ang ; Jun Liu Cambridge, Mass. National Bureau of Economic Research 2007 46 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 12843 We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines the dynamics of the expected return and the price-dividend ratio. By parameterizing one or more of expected returns, volatility, or prices, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables. Our relations are useful for understanding the risk-return trade-off, as well as characterizing the predictability of stock returns. Liu, Jun 1967- Verfasser (DE-588)128834811 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 12843 (DE-604)BV002801238 12843 http://papers.nber.org/papers/w12843.pdf kostenfrei Volltext |
| spellingShingle | Ang, Andrew Liu, Jun 1967- Risk, return and dividends |
| title | Risk, return and dividends |
| title_auth | Risk, return and dividends |
| title_exact_search | Risk, return and dividends |
| title_exact_search_txtP | Risk, return and dividends |
| title_full | Risk, return and dividends Andrew Ang ; Jun Liu |
| title_fullStr | Risk, return and dividends Andrew Ang ; Jun Liu |
| title_full_unstemmed | Risk, return and dividends Andrew Ang ; Jun Liu |
| title_short | Risk, return and dividends |
| title_sort | risk return and dividends |
| url | http://papers.nber.org/papers/w12843.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT angandrew riskreturnanddividends AT liujun riskreturnanddividends |