Generalized semi-Markovian dividend discount model: risk and return
Mathematical Finance
2016-05-10 v1
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.
Keywords
Cite
@article{arxiv.1605.02472,
title = {Generalized semi-Markovian dividend discount model: risk and return},
author = {Guglielmo D'Amico},
journal= {arXiv preprint arXiv:1605.02472},
year = {2016}
}