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Dividend Growth, Stock Valuation, and Long-Run Risk [r-libre/1577]

Bergeron, Claude (2013). Dividend Growth, Stock Valuation, and Long-Run Risk. Journal of Economics and Finance, 37 (4), 547-559. https://doi.org/10.1007/s12197-011-9196-5

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Content : Accepted Version
 
Item Type: Journal Articles
Refereed: Yes
Status: Published
Abstract: In this paper, we integrate the long-run concept of risk into the stock valuation process. We use the intertemporal consumption capital asset pricing model to demonstrate that a stock’s long-run dividend growth is negatively related to its current dividend-price ratio and positively related to its long-run covariance between dividends and consumption. Then, we show that the equilibrium price of a stock is determined by its current dividend, long-run dividend growth, and long-run risk. In all, our work suggests that risk cumulated over many periods represents an important parameter in assessing the theoretical value of a firm.
Official URL: https://link.springer.com/article/10.1007/s12197-0...
Depositor: Bergeron, Claude
Owner / Manager: Claude Bergeron
Deposited: 22 Nov 2018 15:18
Last Modified: 22 Nov 2018 15:18

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