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- W3123406988 abstract "We develop a new procedure to forecast future cash flows from a financial asset and then use the present value of our cash-flow forecasts to calculate the asset's fundamental price. As an example, we construct a nonlinear ARMA-ARCH-ANN model to obtain out-of-sample dividend forecasts for 1920 and beyond, using only in-sample dividend data. The present value of our forecasted dividends yield fundamental prices that reproduce the magnitude, timing and time-series behavior of the boom and crash in 1929 stock prices. We therefore reject the popular claim that the 1920s stock market contained a bubble." @default.
- W3123406988 created "2021-02-01" @default.
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- W3123406988 date "1998-04-20" @default.
- W3123406988 modified "2023-09-23" @default.
- W3123406988 title "A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of the 1929's Stock Crash" @default.
- W3123406988 hasPublicationYear "1998" @default.
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