regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …

the value of broad-based market indices and their dividends. We also show that this relationship is consistent with …

conducted within the three distinguished subsamples are rather more diverse. In the subgroup of the first announced dividends … (or dividends announced after a minimum one-year break), the significant average abnormal return is found on day t = +1 (0 … may lead to the conclusion that the WSE directly incorporates news on dividends into stock prices. Moreover, the reaction …

This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine … administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on … financial behavior. We find that private consumption is excessively sensitive to dividend income. Investors across wealth …

. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by …

consumption-based asset pricing model is utilized. A single macroeconomic factor, namely the output gap determines the non … output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey … macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in …

markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the …