Parameter Estimation Methods of Required Rate of Return

Battulga Gankhuu

Papers from arXiv.org

Abstract: In this study, we introduce new estimation methods for the required rate of returns on equity and liabilities of private and public companies using the stochastic dividend discount model (DDM). To estimate the required rate of return on equity, we use the maximum likelihood method, the Bayesian method, and the Kalman filtering. We also provide a method that evaluates the market values of liabilities. We apply the model to a set of firms from the S\&P 500 index using historical dividend and price data over a 32--year period. Overall, the suggested methods can be used to estimate the required rate of returns.

Date: 2023-05, Revised 2023-08
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2305.19708 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:2305.19708

Access Statistics for this paper

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