Regime switching in the present value models: A backward-solving method
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DOI: 10.1016/j.frl.2019.02.001
Abstract: Abstract We develop a new method for incorporating regime shifts in the present value models. Existing studies solve the present value problem forward by projecting the expectations of investors and regimes into the infinite future.… read more here.
Keywords: value models; present value; backward solving; switching present ... See more keywords