Document Type

Conference Proceeding

Publisher

Modelling and Simulation Society of Australia and New Zealand

Faculty

Business and Public Management

School

Finance and Business Economics

RAS ID

1199

Comments

This article was originally published as: Allen, D. E., & Wenling, Y. (2001). Do UK Stock Prices deviate from Fundementals?. Proceedings of 2001 MODSIM International Congress on Modelling and Simulation . (pp. 1543-1548). Canberra, ACT. Modelling and Simulation Society of Australia and New Zealand. Original article available here

Abstract

This article examines the deviation of the UK market index from market fundamentals implied by the simple dividend discount model and identifies other components that also affect price movements. The components are classified as permanent, temporary, excess stock returns and non-fundamental innovations in terms of a multivariate moving average model [Lee 1998]. We find that time varying discounted rates play an active role in explaining price deviations.

Access Rights

free_to_read

Included in

Finance Commons

 
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