W. J. Hurley and L. D. Johnson, “Stochastic Two-Phase Dividend Discount Models,” Journal of Portfolio Management, Vol. 23, No. 4, 1997, pp. 91-98. doi:10.3905/jpm.1997.409614
has been cited by the following article:
TITLE: Calculating First Moments and Confidence Intervals for Generalized Stochastic Dividend Discount Models
AUTHORS: William J. Hurley
KEYWORDS: Dividend Discounting; Stochastic; Bernoulli
JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.2, May 24, 2013
ABSTRACT: This paper presents models of equity valuation where future dividends are assumed to follow a generalized Bernoulli process consistent with the actual dividend payout behavior of many firms. This uncertain dividend stream induces a probability distribution of present value. We show how to calculate the first moment of this distribution using functional equations. As well, we demonstrate how to calculate a confidence interval using Monte Carlosimulation. This first moment and interval allows an analyst to determine whether a stock is overor under-valued.