PARAMETER ESTIMATION METHODS OF REQUIRED RATE OF RETURN ON STOCK

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2024-02-28 DOI:10.1142/s0219024924500055

BATTULGA GANKHUU

引用次数: 0

Abstract

In this study, we introduce new estimation methods for the required rate of returns on equity of private and public companies using the stochastic dividend discount model (DDM). To estimate the required rate of return on equity, we use the maximum likelihood method, the Bayesian method, and the Kalman filtering. We apply the model to a set of firms from the S&P 500 index using historical dividend and price data over a 32-year period. Overall, the suggested methods can be used to estimate the required rate of returns.

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股票必要收益率的参数估计方法

在本研究中，我们采用随机股息贴现模型（DDM），介绍了估算私营企业和上市公司股本要求收益率的新方法。为了估算股本要求收益率，我们使用了最大似然法、贝叶斯法和卡尔曼滤波法。我们利用 32 年的历史股息和价格数据，将该模型应用于 S&P 500 指数中的一组公司。总体而言，建议的方法可用于估算必要回报率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.