Kruschwitz, Lutz; Löffler, Andreas - 2020 - Version from May 29, 2020
depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive … cash flows process with random coefficients. We show that the model is free of arbitrage and that the transversality … (respectively dividend-price ratio) is stochastic and our model represents excess volatility. We discuss whether our assumptions are …