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Papers by Bergeron Claude
Economics Bulletin, 2020
In this note, we integrate the long-run concept of risk into the stock valuation process, using t... more In this note, we integrate the long-run concept of risk into the stock valuation process, using the conditional capital asset pricing model. Our main result indicates that the intrinsic value of a stock is positively related to its long-run dividend growth rate, and negatively related to its long-run covariance between dividends and aggregate dividends. This result suggests that the theoretical framework of the conditional capital asset pricing model can be used to examine the effect of long-run risk on firm values. This result also suggests that the long-run covariance between dividends and aggregate dividends represents a relevant measure of risk, without assuming anything about aggregate consumption. Citation: Claude Bergeron and Tov Assogbavi and Jean-pierre Gueyie, (2020) ''Conditional capital asset pricing model, long-run risk, and stock valuation'', Economics Bulletin, Volume 40, Issue 1, pages 77-86 Contact: Claude Bergeron-claude.bergeron@teluq.ca, Tov Assogbavi-tassogbavi@laurentian.ca, Jean-pierre Gueyie-gueyie.jean-pierre@uqam.ca.
Economics Bulletin, 2020
In this note, we integrate the long-run concept of risk into the stock valuation process, using t... more In this note, we integrate the long-run concept of risk into the stock valuation process, using the conditional capital asset pricing model. Our main result indicates that the intrinsic value of a stock is positively related to its long-run dividend growth rate, and negatively related to its long-run covariance between dividends and aggregate dividends. This result suggests that the theoretical framework of the conditional capital asset pricing model can be used to examine the effect of long-run risk on firm values. This result also suggests that the long-run covariance between dividends and aggregate dividends represents a relevant measure of risk, without assuming anything about aggregate consumption. Citation: Claude Bergeron and Tov Assogbavi and Jean-pierre Gueyie, (2020) ''Conditional capital asset pricing model, long-run risk, and stock valuation'', Economics Bulletin, Volume 40, Issue 1, pages 77-86 Contact: Claude Bergeron-claude.bergeron@teluq.ca, Tov Assogbavi-tassogbavi@laurentian.ca, Jean-pierre Gueyie-gueyie.jean-pierre@uqam.ca.