Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 3, 2008 erstellt
Beschreibung:
In this paper, we use a stylized and relatively standard model to describe return predictability and we derive its implications for the correlation and volatility of return and dividend-yield innovations. These implications have equivalent representations as alternative sets of reduced form equations if prices are the discounted present value of the future dividend stream. We exploit this fact to infer the presence of a bubble component in stock prices