Generalized semi-Markovian dividend discount model: risk and return

Guglielmo D'Amico

Papers from arXiv.org

Abstract: The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with measurable space. The paper furnishes sufficient conditions that assure finiteness of fundamental prices and risks and new equations that describe the first and second order price-dividend ratios. Approximation methods to solve equations are provided and some new results for semi-Markov reward processes with Borel state space are established. The paper generalizes previous contributions dealing with pricing firms on the basis of fundamentals.

Date: 2016-05
New Economics Papers: this item is included in nep-pr~
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1605.02472 Latest version (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:arx:papers:1605.02472

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().