基于股利贴现的股票动态定价模型与仿真

Dynamic Pricing Models and Simulation of Stock Based on Dividend Discount

基于股利贴现模型,借鉴实际经济周期模型的思想,建立动态的股票定价模型,分别研究在随机技术冲击和税收政策的变化时,股票的动态价格变化。模型分析表明:股票的价格变化是逐渐进行的,股票的价格总是等于价值,市场是有效的,股票价格的波动不服从随机游走。

Based on the dividend discount model,a dynamic pricing model is built,which uses the idea of real business cycle model.Under the random technology shock and the tax rate change,the dynamic prices are studied.Analytical results show that the price of a particular company's common stock is changed slowly,and always equals to its intrinsic value.The market is efficient and the common stock price doesn't change as a random walk.