Dividend Sensitivity to Economic Factors, Stock Valuation, and Long-run Risk [r-libre/1576]

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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Catégorie de document :	Articles de revues
Évaluation par un comité de lecture :	Oui
Étape de publication :	Publié
Résumé :	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.
Adresse de la version officielle :	https://www.sciencedirect.com/science/article/pii/...
Déposant:	Bergeron, Claude
Responsable :	Claude Bergeron
Dépôt :	22 nov. 2018 15:28
Dernière modification :	22 nov. 2018 15:28

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