We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity … of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We … define the modified dividend–price ratio (mdp), as the long run trend deviation between d and p. Using S&P 500 data for the …

\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are …