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Gordon Growth Model with Vector Autoregressive Process

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  • Battulga Gankhuu

Abstract

In this study, we introduce a Gordon's dividend discount model, based on Vector Autoregressive Process (VAR). We provide two Propositions, which are related to generic Gordon growth model and Gordon growth model, which is based on the VAR process.

Suggested Citation

  • Battulga Gankhuu, 2024. "Gordon Growth Model with Vector Autoregressive Process," Papers 2406.19424, arXiv.org, revised Jul 2024.
    • Handle: RePEc:arx:papers:2406.19424
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    References listed on IDEAS

    as
    1. Battulga Gankhuu & Jacob Kleinow & Altangerel Lkhamsuren & Andreas Horsch, 2022. "Dividends And Compound Poisson Processes: A New Stochastic Stock Price Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 25(03), pages 1-36, May.
    2. Peter Reinhard Hansen, 2005. "Granger's representation theorem: A closed-form expression for I(1) processes," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 23-38, March.
    3. Myron J. Gordon & Eli Shapiro, 1956. "Capital Equipment Analysis: The Required Rate of Profit," Management Science, INFORMS, vol. 3(1), pages 102-110, October.
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