JAWADI, Fredj; Prat, Georges - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
This paper seeks to address the stock price adjustment toward fundamentals. Using the class of Switching Transition Error Correction Models (STECMs), we show that two regimes describe the dynamics of stock price deviations from fundamentals in the G7 countries over the period 1969-2005....