NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Explaining the Variance of Price Dividend Ratios

John H. Cochrane

NBER Working Paper No. 3157 (Also Reprint No. r1734)*
Issued in July 1992
NBER Program(s):   EFG

This paper presents a bound on the variance of the price-dividend ratio

and a decomposition of the variance of the price-dividend ratio into

components that reflect variation in expected future discount rates and

variation in expected future dividend growth. Unobserved discount rates

needed to make the variance bound and variance decomposition hold are

characterized, and the variance bound and variance decomposition are tested

for several discount rate models, including the consumption based model, and

models based on interest rates plus a constant risk premium.

*Published: The Review of Financial Studies, Vol. 5, No. 2, pp. 243-280, (1992).

You may purchase this paper on-line in .pdf format from SSRN.com ($5) for electronic delivery.

Information about Free Papers

You should expect a free download if you are a subscriber, a corporate associate of the NBER, a journalist, a site with your domain name in ".GOV", or a resident of nearly any developing country or transition economy.

If you usually get free papers at work/university but do not at home, you can either connect to your work VPN or proxy (if any) or elect to have a link to the paper emailed to your work email address below. The email address must be connected to a subscribing college, university, or other subscribing institution. Gmail and other free email addresses will not have access.

E-mail:

Machine-readable bibliographic record - MARC, RIS, BibTeX

 
Publications
Activities
Meetings
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org