A diffusion model for growth stocks
成果类型：
Article
署名作者：
Kou, SC; Kou, SG
署名单位：
Harvard University; Columbia University
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.1030.0071
发表日期：
2004
页码：
191-212
关键词：
摘要：
Since growth stocks tend to have low or even negative earnings and high volatility, it is a great challenge to derive a meaningful mathematical model within the traditional valuation framework. This paper attempts to derive a suitable diffusion model for growth stocks by using the idea of size distribution. Numerical illustration of the model based on the data covering the time period of the recent boom and burst of the Internet bubble is also presented.
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