Working paper 12-2000 MODELING THE DIVIDEND-PRICE RATIO: THE ROLE OF FUNDAMENTALS USING A REGIME-SWITCHING APPROACH

Abstract

Using annual data over the post-World War I-period, we estimate a fundamentals-based empirical model for the dividend-price ratio of Danish stocks. The key fundamentals-variable is a time-varying discount rate, decomposed into time-varying measures for the growthadjusted real interest rate and the risk premium on stocks. In addition, the model includes real… (More)

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@inproceedings{Nielsen2000WorkingP1, title={Working paper 12-2000 MODELING THE DIVIDEND-PRICE RATIO: THE ROLE OF FUNDAMENTALS USING A REGIME-SWITCHING APPROACH}, author={Steen Nielsen and Jan Overgaard Olesen}, year={2000} }