ESTIMATING THE S&P FUNDAMENTAL VALUE USING STAR MODELS

Fredj Jawadi

Global Journal of Business Research, 2008, vol. 2, issue 1, 137-146

Abstract: This paper develops a new empirical measure of the S&P fundamental value under the rational expectation hypothesis. Thus, using the linearization of Campbell and Shiller (1988) and referring to the developments of Challe (2002), we extend the Dividend Discount Model (DDM) by introducing nonlinearity in estimating the expected future dividends and the discounted rate. Among many nonlinear models, we retained the STAR (Smooth Transition Autoregressive) models.

JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.theibfr2.com/RePEc/ibf/gjbres/gjbr-v2n1-2008/GJBR-V2N1-2008-11.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibf:gjbres:v:2:y:2008:i:1:p:137-146

Access Statistics for this article

Global Journal of Business Research is currently edited by Terrance Jalbert

More articles in Global Journal of Business Research from The Institute for Business and Finance Research
Bibliographic data for series maintained by Mercedes Jalbert ( this e-mail address is bad, please contact ).