股息貼現(xiàn)模型

1、Deriving the Dividend Discount Model in the Intermediate1跨期消費(fèi)模型研究不同時(shí)間人們的消費(fèi)行為，涉及時(shí)間因素的的消費(fèi)和儲蓄。即消費(fèi)者不必將每期的收入用光，他可以選擇儲蓄，也可以選擇貸款。其預(yù)算約束線的斜率與利率有關(guān)，為-(1+R)，R是利率，然后再此預(yù)算約束現(xiàn)的情況下研究消費(fèi)者偏好。分析的結(jié)果一般為：利率提高，人們選擇少消費(fèi)，更傾向于儲蓄，利率降低，人們會多消費(fèi)，傾向于借貸。那它的方程是什么樣子的？假設(shè)只有兩期,C是消費(fèi)，M是收入：C2=M2+(1+R)(m1-c1)1，2都是角標(biāo)。2we employed a standard two

2、-period model with consumers maximizing utility U(C1,C2). Income (I) in both periods is known, the price of a unit of consumption(C) in both periods is equal to one, and the individual can borrow or lend at the same risk-free interest rate (rf).The maximizing agent has two budget constraints over th

3、e two periods. In the first period, I1 = C1 + Bwhere B is the dollar value of the bonds purchased. In the second period, I2 + (1 + rf )B = C23FIGURE 1 Intertemporal consumption model.4From the first budget constraint, B = I1 C1 and substituting that into the second budget constraint, this gives the

4、equation for the budget constraint line as C2 = I2 + (1 + rf )(I1 C1)The equilibrium condition is then straightforward to derive as follows:5The marginal rate of substitution (MRS) is the tradeoff of current consumption for future consumption that leaves the individual indifferent; put differently,

5、the minimum amount necessary to receive in the future to give up a unit of consumption today.As long as the return (1+rf) is greater than the MRS of current and future consumption, the individual will postpone consumption and increase his utility. The individual will continue giving up current consu

6、mption precisely to the point where the return of the bond is just sufficient to compensate him for waiting. The important aspect is the concept of diminishing MRS, that with each additional unit of postponed current consumption the individual requires a higher return (slope of indifference curve ge

7、ts steeper as one moves from right to left).6In a finance class, the student typically learns the net present value (NPV) criteria for investment projects as evaluating all projects, ranked from highest to lowest rate of return (ROR), against the opportunity cost of capital, which is assumed to be c

8、onstant. To directly compare the intertemporal consumptionmodel to concepts in finance requires consideration of a standard concave investment opportunity set that ranks investment projects from right to left by highest to lowest rates of return.The slope of the investment opportunity set is 1 plus

9、the ROR of a project. Investment is viewed as foregone current consumption. As such, the cost of capital is the slope of the indifference curve. This is shown in figure 2.7FIGURE 2 Investment opportunity and declining rate of return.8The individual will continue to invest as long as the projects ROR

10、 is greater than the MRS (cost of capital); in other words, NPV 0. Utility is maximized when the ROR is just equal to the MRS, where NPV = 0. In this model, profit maximization is the same as utility maximization, and zero economic profit (NPV = 0) is where the return of a project is just equal to t

11、he value of foregone current consumption.9the two-period model has two constraints that are combined into one to represent the graphs budget constraint line. The constraint for period 1 is I1 = C1 + P1N(where N is the number of shares of a stock and P1 is the price of a share. )The budget constraint

12、 for period 2 is I2 + (d2 + P2)N = C2(where d2 is the per-share dividend and P2 is the price of the share in the second period.) 10From the first budget constraint, so substituting that into the budget constraint for period 2 givesThe equilibrium is then11The latter term is 1 plus the ROR on the stock which is equal to 1 plus th