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Extended dividend, cash flow and residual income valuation models : accounting for deviations from ideal conditions

Heinrichs, Nicolas; Hess, Dieter; Homburg, Carsten; … - 2011 - This version: May 25, 2011

Standard equity valuation approaches (i.e., DDM, RIM, and DCF model) are derived under the assumption of ideal conditions, such as infinite payoffs and clean surplus accounting. Because these conditions are hardly ever met, we extend the standard approaches, based on the fundamental principle of...

Persistent link: https://www.econbiz.de/10009270446

Extended Dividend, Cash Flow and Residual Income Valuation Models - Accounting for Deviations from Ideal Conditions

Heinrichs, Nicolas - 2012

Previous empirical studies derive the standard equity valuation models (i.e., DDM, RIM, and DCF model) while assuming that ideal conditions, such as infinite payoffs and clean surplus accounting, exist. Because these conditions are rarely met, we extend the standard models by following the...

Persistent link: https://www.econbiz.de/10013097055

Lest we forget : learn from out-of-sample forecast errors when optimizing portfolios

Barroso, Pedro - 2020

Portfolio optimization often struggles in realistic out-of-sample contexts. We de-constructthis stylized fact, comparing historical forecasts of portfolio optimization inputs withsubsequent out of sample values. We confirm that historical forecasts are imprecise guidesof subsequent values but...

Persistent link: https://www.econbiz.de/10012855557

Internet Appendix for Lest We Forget : Using Out-Of-Sample Forecast Errors in Portfolio Optimization

Barroso, Pedro - 2019

Persistent link: https://www.econbiz.de/10012896157

Surprising Absence of Scale for Forecast Error Magnitudes and Forecast Dispersion

Cheong, Foong Soon - 2010

, unless called for by theory. Regardless, a scale variable should be included as an additional regressor …

Persistent link: https://www.econbiz.de/10013150510

Balancing Forecast Errors in Continuous-Trade Intraday Markets

Garnier, Ernesto - 2014

Forecasting the production of photovoltaic (PV) and wind power systems inevitably implies inaccuracies. Therefore, sales made based on forecasts almost always require the vendor to make balancing efforts. In the absence of resources available within their own portfolios, operators can turn...

Persistent link: https://www.econbiz.de/10013051372

Predicting Returns Out of Sample : A Naïve Model Averaging Approach

Chen, Huafeng (Jason) - 2020

Prior literature finds that variables that can forecast market returns in sample do not beat historical averages in forecasting market returns out of sample. We propose a naïve model averaging (NMA) method, which produces mostly positive out-of-sample R2s for the variables that are significant...

Persistent link: https://www.econbiz.de/10012847697

Out-of-Sample Equity Premium Predictability and Sample Split Invariant Inference

Kolev, Gueorgui I. - 2014

For a comprehensive set of 21 equity premium predictors we find dramatic disagreement between out-of-sample predictability results depending on the choice of the sample split date. To resolve this issue we propose reporting in graphical form the out-of-sample predictability criteria for every...

Persistent link: https://www.econbiz.de/10013066368

Time-Disaggregated Dividend-Price Ratio and Dividend Growth Predictability in Large Equity Markets

Asimakopoulos, Panagiotis - 2016

Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In … order to uncover this relationship, we use monthly dividends and a mixed data sampling technique which allows us to cope … with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple …

Persistent link: https://www.econbiz.de/10013006710

Predicting Stock Returns : Historical Mean vs. Dividend Yield

McMillan, David G. - 2015

This paper considers whether the log dividend yield provides forecast power for stock returns. While this is an oft …-year rolling window we compare forecasts from the dividend yield model to those from the historical mean model across forecast … magnitude, sign and investment metrics. Results show that in each case the dividend yield model provides superior forecasts …

Persistent link: https://www.econbiz.de/10013012956