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An Alternative View of the US Price-Dividend Ratio Dynamics
As a necessary condition for the validity of the present value model, the price-dividend ratio must be stationary. However, significant market episodes seem to provide evidence of prices significantly drifting apart from ...
Switching Equilibria: The Present Value Model for Stock Prices Revisited
This paper analyzes the different dynamic features displayed by alternative RE equilibria and how these features change for small perturbations of the dividend process parameters. Using historical US data and structural ...