English, Article, Journal or magazine article edition: Explaining the Variance of Price Dividend Ratios John H. Cochrane

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Bookmark: http://trove.nla.gov.au/version/140858
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Explaining the Variance of Price Dividend Ratios
Author
  • John H. Cochrane
Physical Description
  • preprint
Notes
  • This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected future dividend growth. Unobserved discount rates needed to make the variance bound and variance decomposition hold are characterized, and the variance bound and variance decomposition are tested for several discount rate models, including the consumption based model, and models based on interest rates plus a constant risk premium.
  • RePEc:nbr:nberwo:3157
Language
  • English
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