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Bergeron, Claude (2013). Dividend Sensitivity to Economic Factors, Stock Valuation, and Long-run Risk. Finance Research Letters, 10 (4), 184-195. 10.1016/j.frl.2013.07.004
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Content : Accepted Version |
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| Item Type: | Journal Articles |
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| Refereed: | Yes |
| Status: | Published |
| Abstract: | In this paper, we develop a theoretical stock valuation model that takes into account the long-run sensitivity of dividends to various economic factors. Our valuation process integrates the multidimensionality of uncertainty, as well as the long-run concept of risk (recently proposed in the literature). More precisely, we demonstrate that a stock’s long-run dividend growth is negatively related to its current dividend-price ratio and linearly related to N sensitivity coefficients, given by the long-run sensitivity between dividends and economic factors. Then, we show that the equilibrium price of a stock is a function of its current dividend, long-run dividend growth, and N risk parameters. |
| Official URL: | https://www.sciencedirect.com/science/article/pii/... |
| Depositor: | Bergeron, Claude |
| Owner / Manager: | Claude Bergeron |
| Deposited: | 22 Nov 2018 15:28 |
| Last Modified: | 22 Nov 2018 15:28 |
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