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|a Price dividend ratio and long-run stock returns
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|a 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.
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Electronic Resources |
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Delle Monache, Davide, Petrella, Ivan, Venditti, Fabrizio |
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Delle Monache, Davide, Petrella, Ivan, Venditti, Fabrizio |
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Delle Monache, Davide |
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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. |
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(DE-627)1689275154, (DE-599)KXP1689275154, (OCoLC)1155917365 |
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10.2866/699185 |
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Online, Free |
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not assigned |
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eBook |
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text-online-monograph-independent |
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Italy |
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Europäische Zentralbank: Working paper series |
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Europäische Zentralbank: Working paper series |
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Not Illustrated |
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Frankfurt am Main, Germany, European Central Bank, [2020] |
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Frankfurt am Main, Germany: European Central Bank, [2020] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-L242, DE-Zwi2 |
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Price dividend ratio and long-run stock returns: a score driven state space model |
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2023-02-16T05:41:47.693Z |
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Verbunddaten SWB, Lizenzfreie Online-Ressourcen |
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(108090442)no 2369 (February 2020) |
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1 Online-Ressource (circa 83 Seiten); Illustrationen |
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Europäische Zentralbank, Working paper series, no 2369 (February 2020) |
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Working paper series / European Central Bank ; no 2369 (February 2020) |
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Delle Monache, Davide VerfasserIn (DE-588)1073672247 (DE-627)82933713X (DE-576)435262009 aut, Price dividend ratio and long-run stock returns a score driven state space model Davide Delle Monache, Ivan Petrella, Fabrizio Venditti, Frankfurt am Main, Germany European Central Bank [2020], 1 Online-Ressource (circa 83 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2369 (February 2020), 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., Petrella, Ivan 1983- VerfasserIn (DE-588)143018493 (DE-627)641293925 (DE-576)33463041X aut, Venditti, Fabrizio VerfasserIn aut, Europäische Zentralbank Working paper series no 2369 (February 2020) 2369 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2369~7afcf6a5c4.en.pdf Verlag kostenfrei, https://doi.org/10.2866/699185 Resolving-System kostenfrei, http://hdl.handle.net/10419/228983 Resolving-System kostenfrei, https://doi.org/10.2866/699185 LFER, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2369~7afcf6a5c4.en.pdf LFER, LFER 2020-02-17T00:00:00Z |
spellingShingle |
Delle Monache, Davide, Petrella, Ivan, Venditti, Fabrizio, Price dividend ratio and long-run stock returns: a score driven state space model, Europäische Zentralbank, Working paper series, no 2369 (February 2020), 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. |
title |
Price dividend ratio and long-run stock returns: a score driven state space model |
title_auth |
Price dividend ratio and long-run stock returns a score driven state space model |
title_full |
Price dividend ratio and long-run stock returns a score driven state space model Davide Delle Monache, Ivan Petrella, Fabrizio Venditti |
title_fullStr |
Price dividend ratio and long-run stock returns a score driven state space model Davide Delle Monache, Ivan Petrella, Fabrizio Venditti |
title_full_unstemmed |
Price dividend ratio and long-run stock returns a score driven state space model Davide Delle Monache, Ivan Petrella, Fabrizio Venditti |
title_in_hierarchy |
no 2369 (February 2020). Price dividend ratio and long-run stock returns: a score driven state space model ([2020]) |
title_short |
Price dividend ratio and long-run stock returns |
title_sort |
price dividend ratio and long run stock returns a score driven state space model |
title_sub |
a score driven state space model |
url |
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2369~7afcf6a5c4.en.pdf, https://doi.org/10.2866/699185, http://hdl.handle.net/10419/228983 |