@techreport{21ca8569dca14ee1a05e354e7fdf626a,
title = "Exploiting price misalignements",
abstract = "This paper defines and tests a simple passive trading strategy which involves comparing the price of an asset with its fundamental value. The fundamental value is computed from the real-time forecasts of dividends, expected returns and dividend growth rate using simple regression schemes. By defining a measure of going long in either the equity or the bond market, the rule is found to significantly outperform the passive Buy and Hold strategy with stronger effect in longer horizons. The returns from the strategy also tend to vary with the forecasting model and the definition of the discount rate in the present value relation.",
keywords = "Net Present Value, Dividend forecasts, Real-time, Trading Rule, Excess volatility",
author = "Dooruj Rambaccussing",
year = "2009",
language = "English",
series = "MPRA Paper",
publisher = "University Library of Munich, Germany",
number = "27147",
type = "WorkingPaper",
institution = "University Library of Munich, Germany",
}