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Testing for persistent deviations of stock prices to dividends in the Nasdaq index

Cuñado, J.; Gil-Alana, L.A.; Perez de Gracia, F. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4675-4685

In this paper we test for the presence of bubbles in the Nasdaq stock market index over the period 1994–2003 applying fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The results show a significant structural break in 1998...

Persistent link: https://www.econbiz.de/10011063125

A SEMIPARAMETRIC FREQUENCY DOMAIN APPROACH OF MODELLING THE REAL OUTPUT WITH FRACTIONAL INTEGRATION.

Gil-Alanaa, Luis A. - In: European Research Studies Journal VI (2003) 3-4, pp. 121-130

We propose in this article the use of the Quasi Maximum Likelihood Estimate of Robinson (QMLE, 1995a) for estimating the fractional differencing parameter in the real output and in the growth rate series of France, Italy and the U.K. This method is semiparametric and is robust to the different...

Persistent link: https://www.econbiz.de/10008487490

Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks

Clark, Steven; Coggin, T. - In: Empirical Economics 40 (2011) 2, pp. 373-391

Persistent link: https://www.econbiz.de/10008925356

Mean reversion and autocorrelation in profitability of Illinois farms

Phillips, Jill M.; Katchova, Ani L. - In: Agricultural Finance Review 65 (2005) May, pp. 87-96

Economic theory implies that firms in a competitive market will adjust to long-run equilibrium levels of profitability …, resulting in mean reversion of profitability. Partial adjustment models are applied to farm-level data from Illinois to test for … mean reversion and autocorrelation in profitability. Results show that farm businesses revert to individual levels of …

Persistent link: https://www.econbiz.de/10005007753

E/P Mean Reversion-Based Strategies for Investment Practice: Evidence from the Taiwan Market

Lin, Yan-Ting; Gong, Shang-Chi; Wu, Sou-Shan; Lee, Tsung-Pei - In: Emerging Markets Finance and Trade 48 (2012) 1, pp. 117-131

This study investigates the mean-reversion characteristic in firm-specific earnings-to-price ratios (E/P ratios) and proposes two investment strategies based on the detected mean-reversion feature of E/P ratios. We differentiate our study from other research by analyzing firm-specific time...

Persistent link: https://www.econbiz.de/10010612830

The Behaviour of Relative Prices in the European Union: A Sectoral Analysis

Chen, Natalie - C.E.P.R. Discussion Papers - 2002

Using multivariate unit root test methods, this Paper investigates the Purchasing Power Parity (PPP) hypothesis at the sectoral level across six European countries over the last seventeen years. Evidence of mean reversion toward PPP is found for the relative prices of some sectors and countries....

Persistent link: https://www.econbiz.de/10005504281

VALUING ELECTRICITY ASSETS IN DEREGULATED MARKETS: A REAL OPTIONS MODEL WITH MEAN REVERSION AND JUMPS

Ethier, Robert G. - Charles H. Dyson School of Applied Economics and … - 1999

Valuation of electricity generating assets is of central importance as utilities are forced to spin-off generators with the introduction of competitive markets. A continuous-time mean reverting price path with stochastic upward jumps is proposed as an appropriate model for long-run competitive...

Persistent link: https://www.econbiz.de/10005513830

MODELING THE EURO OVERNIGHT RATE

León, Ángel; Benito, Francis; Nave, Juan - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2006

This paper describes the evolution of the daily Euro overnight interestrate (EONIA) by using several models containing the jump component such asa single regime ARCH-Poisson-Gaussian process, with either a piecewisefunction or an autoregressive conditional specification (ARJI) for the...

Persistent link: https://www.econbiz.de/10005515915

New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model

Lam, Kin; Wong, May Chun Mei; Wong, Wing-Keung - Department of Economics, National University of Singapore - 2005

We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(l) process but take the form of a general ARMA process. We then derive some properties of the GMR process and three...

Persistent link: https://www.econbiz.de/10005518280

Are EU budgets stationary?

Holmes, Mark J.; Panagiotidis, Theodore; Otero, Jesus - 2008

In this paper, we test for the stationarity of European Union budget deficits over the period 1971 to 2006, using a panel of thirteen member countries. Our testing strategy addresses two key concerns with regard to unit root panel data testing, namely (i) the presence of cross-sectional...

Persistent link: https://www.econbiz.de/10005518399