kaal:claim:4033886-024

The Longstaff model's assumptions are inconsistent with reality on two fronts: investors do not have perfect timing, and its assumed volatility of ten to thirty percent is far below the volatility exceeding fifty percent typical of small stocks.

Source quote, verbatim
The Longstaff model's underlying assumptions are inconsistent with the reality of perfect timing as well as the assumed volatility level between ten to thirty percent, yet small stocks typically have volatility exceeding fifty percent.113
From

Wulf A. Kaal, Samuel Evans, Hayley Howe, Digital Asset Valuation (2022), III.3.a(2) Longstaff Model, p. 26
https://ssrn.com/abstract=4033886 · source PDF

Cite as

Wulf A. Kaal, Samuel Evans, Hayley Howe, Digital Asset Valuation (2022). SSRN: https://ssrn.com/abstract=4033886

Holds when
Classification

failuresupport: arguedfailure: volatility assumption mismatchfamily: research-design-limitationinstitutional-design

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