Document Type
Conference Proceeding
Publisher
Modelling and Simulation Society of Australia and New Zealand
Faculty
Faculty of Business and Public Management
School
School of Finance and Business Economics
RAS ID
1199
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
Comments
This is an Author's Accepted Manuscript of: 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. Available here