Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of Accounting and Finance 14 (2015) 1, pp. 81-103
developments imply bivariate cointegration among stock prices, dividends, output and consumption where independent models identify … stock prices, dividends, output and consumption, although not necessarily linked by a single common stochastic trend; each … series responds to disequilibrium with greater evidence of a reaction from dividends and consumption – of note, output …