speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …

-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s …

We extend the constant discount factor model with intrinsic bubbles developed in Froot and Obstfeld (1991) to account … for serial correlation in dividend growth rates. We derive an exact analytical expression for both the present value stock … price and an intrinsic bubble component when dividend growth rates evolve as a Gaussian first-order autoregressive process …

-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s. …

dividend stream is modeled as a random walk with innovations drawn from the family of stable distributions. We derive an exact …-driven intrinsic bubbles to explain the observed variation in annual U.S. stock prices. We compare results obtained in this setting …

In order to examine non-linear predictability of the US and Japanese dividend-yield ratio, smooth transition regression … of non-linear risk aversion. Our findings support non-linearity in the US and Japanese dividend yield that might be …