Conditional capital asset pricing model, long-run risk, and stock valuation [r-libre/1921]

Bergeron, Claude, Assogbavi, Tov et Gueyie, Jean-Pierre (2020). Conditional capital asset pricing model, long-run risk, and stock valuation. Economics Bulletin, 40 (1), 77-86.

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Catégorie de document :	Articles de revues
Évaluation par un comité de lecture :	Oui
Étape de publication :	Publié
Résumé :	In this note, we integrate the long-run concept of risk into the stock valuation process, using the conditional capital asset pricing model. Our main result indicates that the intrinsic value of a stock is positively related to its long-run dividend growth rate, and negatively related to its long-run covariance between dividends and aggregate dividends. This result suggests that the theoretical framework of the conditional capital asset pricing model can be used to examine the effect of long-run risk on firm values. This result also suggests that the long-run covariance between dividends and aggregate dividends represents a relevant measure of risk, without assuming anything about aggregate consumption.
Adresse de la version officielle :	http://www.accessecon.com/Pubs/EB/2020/Volume40/EB...
Déposant:	Bergeron, Claude
Responsable :	Claude Bergeron
Dépôt :	17 fevr. 2020 16:33
Dernière modification :	17 fevr. 2020 16:33

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