Risk aversion, dividend growth and the foreign exchange forward premium

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dc.creator Watuwa, Richard
dc.date.accessioned 2013-12-19T16:27:58Z
dc.date.available 2013-12-19T16:27:58Z
dc.date.issued 2006
dc.identifier http://library2.smu.ca/bitstream/handle/01/25404/asb_proceedings_2006.pdf#page=84
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/25530
dc.description.abstract This paper investigates the empirical performance of dividend growth as a stochastic discount factor in an international consumption based capital asset pricing model. Given that dividend growth exhibits greater variability than consumption growth, it has potential to provide a better discount factor. We find that even although our proposed model yields lower estimates of the risk aversion parameter than the consumption growth model, the estimates are greater 10. Neither model is rejected by the data. en_CA
dc.description.provenance Submitted by Trish Grelot (trish.grelot@smu.ca) on 2013-12-19T16:27:58Z No. of bitstreams: 0 en
dc.description.provenance Made available in DSpace on 2013-12-19T16:27:58Z (GMT). No. of bitstreams: 0 Previous issue date: 2006 en
dc.language.iso en en_CA
dc.publisher Atlantic Schools of Business en_CA
dc.subject.lcsh Foreign exchange rates
dc.subject.lcsh Dividends
dc.subject.lcsh Capital assets pricing model
dc.subject.lcsh Financial risk
dc.title Risk aversion, dividend growth and the foreign exchange forward premium en_CA
dc.type Text en_CA
dcterms.bibliographicCitation Proceedings of the Atlantic Schools of Business 36th annual conference, Mount Allison University, September 29th to October 1st, 2006, pp 84-89
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