A New Dividend Forecasting Procedure That Rejects Bubbles in Asset Prices
نویسندگان
چکیده
We develop a II(!lV procedllre to forecast flltllre casbjlolVsfrom ajillallcial asset alld tbell lise tbe presellt vallie of ollr casb jlOlV forecasts to calCIIlate tbe asset's f,mdamelltal price. As all example, we COllstrllct a 1I0lllillear AJljfA.-ARCHArtificial Nellral Network model to obtaill Ollt-Ofsample dividelldforecastsf01'1920 alld beyolll/, tlsillg OIlly ill-sample dividelld data. The presellt vallie of ollr forecasted dividellds yield fimdamelltal prices tbat J'eprodtlce tbe magllittlde, timillg, mid time-series bebavior of tbe boom mid crasb ill 1929 stock p,ices. We tberefore reject tbe poplliar claim tbat tbe 1920s stock market cOlltailled a bubble.
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