Managing Funds in the US Market: How to Distinguish Between Transitory Distortions and Structural Changes in the Stock Prices?

In this paper, we estimate a reliable fundamental value of the S&P index, standing for a long run target value in Error-Correcting Modelling of the dynamics of the subsequnet returns. The present Value Model suggests two fundamentals: the dividends and a discount rate factor, specified as a risk-free rate plus an ex ante risk premium, to capture structural breaks in the expectations.

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Year of publication:	1997
Authors:	Bruneau, C. ; Duval-Kieffer, C. ; Nicolai, J.P.
Institutions:	Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
Subject:	ECONOMETRICS \| COINTEGRATION

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Series:	Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005660679