Variable-Expected-Returns and the Present Value Model: A Panel Study

Jianping Mei
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Jianping Mei: New York University, USA

Chapter 2 in New Methods for the Arbitrage Pricing Theory and the Present Value Model, 1994, pp 45-89 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Dividend-Ratio ModelTest of Model of Expected Returns Using Panel DataVector Autoregression and the Dividend Ratio ModelData Description and Empirical resultsConclusionsReferencesAppendix IAppendix II

Date: 1994
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