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Price dividend ratio and long-run stock returns: a score driven state space model

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Personen und Körperschaften: Delle Monache, Davide (VerfasserIn), Petrella, Ivan (VerfasserIn), Venditti, Fabrizio (VerfasserIn)
Titel: Price dividend ratio and long-run stock returns: a score driven state space model/ Davide Delle Monache, Ivan Petrella, Fabrizio Venditti
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2020]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2369 (February 2020)
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the longrun expected rate of return on stocks. The latter can be attributed mainly to a decrease in the natural rate of interest, as the long-run risk premium has only slightly fallen.
Umfang: 1 Online-Ressource (circa 83 Seiten); Illustrationen
ISBN: 9789289940122
9289940123
DOI: 10.2866/699185