Variance matters (in stochastic dividend discount models)

Published 1 Nov 2013 in q-fin.PR and q-fin.GN | (1311.0236v1)

Abstract: Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more precise view on this issue proposing a closed-form formula for the variance of stock prices.

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