Download This PaperDiscount Rate Dynamics and Stock Prices
52 Pages Posted: 9 Oct 2013 Last revised: 12 Aug 2020
Date Written: October 4, 2013
Abstract
Basic volatility and predictability characteristics of the aggregate US stock market over the last century can be understood in terms of the dynamic properties of mean reverting equity discount rates. Additionally, high prices in good times and low prices in bad times can be understood in terms of the dynamics of both equity discount rates and return on capital, and the negative correlation between them.
Keywords: asset pricing, predictability of stock returns, volatility of stock returns, dividend growth predictability, discount rates
JEL Classification: G12
Suggested Citation: Suggested Citation
Tarlie, Martin, Discount Rate Dynamics and Stock Prices (October 4, 2013). Available at SSRN: https://ssrn.com/abstract=2337155 or http://dx.doi.org/10.2139/ssrn.2337155
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.