This paper examines the implications of payout horizon for the prices of aggregate cashflows. The interaction of two long-run forces — a long-run risk in consumption and aggregate dividends, and a cointegration relationship between consumption and aggregate dividends — leads to non-monotonic relationships between a payout’s horizon and its cash flow risks, discount rate risks, and risk premia. ...

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. W...

This research is associative with a quantitative approach which aims to analyze the ability of direct method operating cash flow components in predicting future flows and dividends manufacturing companies listed on Indonesia Stock Exchange 2018-2021 period. The samples used this study were 32 companies. Sampling technique purposive sampling. analytical panel data regression. tested using softwa...

We study the optimal behaviour of a firm whose cash holdings are determined by a diffusion process and which is faced with the threat of liquidation if internal cash balances fall below some threshold. There is a conflict between the desire to pay out cash as dividends to satisfy relatively impatient shareholders and the need to retain cash as a barrier against possible liquidation (and consequ...

Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series analysis to annual Australian stock market data for the period 1883 to 1999. While Shiller’s test suggests the possibility of excess volatility, time series ana...

Adopting a probabilistic approach we determine the optimal dividend payout policy of firm whose surplus process follows controlled arithmetic Brownian motion and cash-flows are discounted at stochastic dynamic rate. Dividends can be paid to shareholders unrestricted rates so that problem is cast as one singular control. The interest rate modeled by Cox–Ingersoll–Ross (CIR) firm's objective maxi...

This paper examines how control and ownership structure affect share repurchases in an emerging market where controlling families derive large private benefits. Whereas firms with concentrated ownership often pay cash dividends, firms with weak control rights often repurchase shares. The magnitude of repurchase increases with weak control rights, but decreases with strong foreign ownership. The...

the valuation of companies is often complicated by a failure to understand how share prices are set. many senior executive believe that stock prices are set by some vague combination of earnings, growth rates, returns, book values, cash flows, dividends and trading volumes. in this article two general models of valuation are introduced. the firs t one is the accounting model which states that s...