Exact Linear Present Value

Woongki Lee
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Woongki Lee: Yonsei University

No 9pngz_v1, SocArXiv from Center for Open Science

Abstract: In this study, we propose an exact, level-based counterpart to the widely used loglinear present value framework. This level-based framework preserves the core economic content of the loglinear approach while eliminating the need for approximation. The framework, however, goes beyond exactness. It also allows a richer analysis of price dynamics. Price changes are separated into anticipated movements and expectation revisions, and each component is further decomposed into cash-flow and discount-rate contributions. We apply the framework empirically to characterize aggregate stock price movements.

Date: 2026-08-01
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:9pngz_v1

DOI: 10.31219/osf.io/9pngz_v1

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