Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/19114
Autor:innen: 
Pesaran, Mohammad Hashem
Pettenuzzo, Davide
Timmermann, Allan
Datum: 
2006
Schriftenreihe/Nr.: 
CESifo Working Paper No. 1650
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data generating process underlying the cash flows. This paper presents new theoretical results for the existence of the infinite sum of discounted expected future values under uncertainty about the parameters characterizing the growth rate of the cash flow process. Furthermore, we explore the consequences for present values of relaxing the stability assumption in a way that allows for past and future breaks to the underlying cash flow process. We find that such breaks can lead to considerable changes in present values.
Schlagwörter: 
present value
stock prices
structural breaks
Bayesian learning
JEL: 
G12
C11
G22
Dokumentart: 
Working Paper

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