Chow, Ying-Foon; Liu, Ming - In: Journal of Financial and Quantitative Analysis 34 (1999) 03, pp. 341-367
It is now widely held that stock prices are too volatile to be optimal forecasts of future dividends discounted at a constant rate. Using the present value model with a constant discount rate, we show that when there is memory in the duration of dividend swings, the stock price can move in a...