Managing Funds in the US Market: How to Distinguish Between Transitory Distortions and Structural Changes in the Stock Prices?

C. Bruneau, C. Duval-Kieffer and J.P. Nicolai

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: In this paper, we estimate a reliable fundamental value of the S&P index, standing for a long run target value in Error-Correcting Modelling of the dynamics of the subsequnet returns. The present Value Model suggests two fundamentals: the dividends and a discount rate factor, specified as a risk-free rate plus an ex ante risk premium, to capture structural breaks in the expectations.

Keywords: ECONOMETRICS; COINTEGRATION (search for similar items in EconPapers)
JEL-codes: C13 C15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pnegmi:9727

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