search query: @author Bulkley, G. / total: 8
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| Author: | Bulkley, G. Taylor, N. |
| Title: | A cross-section test of the present value model |
| Journal: | Journal of Empirical Finance
1996 : FEB, VOL. 2:4, p. 295-306 |
| Index terms: | FINANCE MODELS TESTS |
| Language: | eng |
| Abstract: | The authors estimate for a sample of U.S. companies an econometric model of each companies' dividend process. The authors use this to forecast future dividends, and thereby calculate a theoretical present value for each company. The authors compare this to the market price and test whether one can earn excess returns by purchasing shares which are undervalued, compared to this theoretical price. The authors show that portfolios of underpriced shares substantially outperform the full sample. |
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