Analytical cyclical price-dividend ratios

DOI10.1016/J.ECONLET.2022.110510MaRDI QIDQ2158383zbMATH OpenOpenAlexFDO

Authors F. Mignanego, Alessandro Sbuelz

Publication date 26 July 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110510

zbMATH Keywords

endogenous heteroskedasticitylog-linear approximationlong-run risknon-linearityprice-dividend ratio

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(3)

• Structural recovery of face value at default
• Price-dividend ratios and stock price predictability
• Equilibrium asset pricing with short rate risk

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