Gordon Growth Model with Vector Autoregressive Process

TL;DR

This paper extends the classic Gordon Growth Model by incorporating a Vector Autoregressive Process, providing new theoretical insights and propositions related to the model's behavior under this stochastic process.

Contribution

It introduces a VAR-based Gordon Growth Model and presents two propositions that generalize the classic model with this stochastic process.

Findings

Two propositions related to the VAR-based Gordon model

Theoretical generalizations of the classic Gordon model

Insights into dividend discount modeling with VAR

Abstract

In this study, we introduce a Gordon's dividend discount model, based on Vector Autoregressive Process (VAR). We provide two Propositions, which are related to generic Gordon growth model and Gordon growth model, which is based on the VAR process.