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Discounting earnings with stochastic discount rates

Marco Realdon

The European Journal of Finance, Volume: 25, Issue: 10, Pages: 910 - 936

Swansea University Author: Marco Realdon

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DOI (Published version): 10.1080/1351847x.2018.1548368

Abstract

This paper presents new equity valuation formulae in closed form that extend the abnormal earnings growth (AEG) valuation of Ohlson andJuettner-Nauroth (2005) to the cases of stochastic cost of capital or stochastic interest rates. Interest rates are modeled by quadraticterm structure models. Valuat...

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Published in: The European Journal of Finance
ISSN: 1351-847X 1466-4364
Published: Taylor & Francis (Routledge) 2019
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URI: https://cronfa.swan.ac.uk/Record/cronfa45490
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first_indexed 2018-11-07T20:16:58Z
last_indexed 2021-01-26T04:07:14Z
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spelling 2021-01-25T17:17:39.5852955 v2 45490 2018-11-07 Discounting earnings with stochastic discount rates 5866b5c5cf6e2ffc303c2c417d881bbe Marco Realdon Marco Realdon true false 2018-11-07 BAF This paper presents new equity valuation formulae in closed form that extend the abnormal earnings growth (AEG) valuation of Ohlson andJuettner-Nauroth (2005) to the cases of stochastic cost of capital or stochastic interest rates. Interest rates are modeled by quadraticterm structure models. Valuation can be very sensitive to the correlation between the factors driving earnings and interest rates. Journal Article The European Journal of Finance 25 10 910 936 Taylor & Francis (Routledge) 1351-847X 1466-4364 abnormal earnings growth valuation, discounted dividends valuation, risk-neutral valuation, discrete time quadratic term structure models. 3 7 2019 2019-07-03 10.1080/1351847x.2018.1548368 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2021-01-25T17:17:39.5852955 2018-11-07T18:58:22.9388666 Faculty of Humanities and Social Sciences School of Management - Business Management Marco Realdon 1 0045490-30082019150403.pdf AAMv2.pdf 2019-08-30T15:04:03.8700000 Output 462285 application/pdf Accepted Manuscript true 2020-05-25T00:00:00.0000000 false eng
title Discounting earnings with stochastic discount rates
spellingShingle Discounting earnings with stochastic discount rates
Marco Realdon
title_short Discounting earnings with stochastic discount rates
title_full Discounting earnings with stochastic discount rates
title_fullStr Discounting earnings with stochastic discount rates
title_full_unstemmed Discounting earnings with stochastic discount rates
title_sort Discounting earnings with stochastic discount rates
author_id_str_mv 5866b5c5cf6e2ffc303c2c417d881bbe
author_id_fullname_str_mv 5866b5c5cf6e2ffc303c2c417d881bbe_***_Marco Realdon
author Marco Realdon
author2 Marco Realdon
format Journal article
container_title The European Journal of Finance
container_volume 25
container_issue 10
container_start_page 910
publishDate 2019
institution Swansea University
issn 1351-847X
1466-4364
doi_str_mv 10.1080/1351847x.2018.1548368
publisher Taylor & Francis (Routledge)
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Business Management{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Business Management
document_store_str 1
active_str 0
description This paper presents new equity valuation formulae in closed form that extend the abnormal earnings growth (AEG) valuation of Ohlson andJuettner-Nauroth (2005) to the cases of stochastic cost of capital or stochastic interest rates. Interest rates are modeled by quadraticterm structure models. Valuation can be very sensitive to the correlation between the factors driving earnings and interest rates.
published_date 2019-07-03T03:57:18Z
_version_ 1763752896852131840
score 11.036553

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