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Financial market efficiency tests
Bollerslev, Tim; Hodrick, Robert J. - 1992
Persistent link: https://www.econbiz.de/10000136709
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Structural breaks, incomplete information and stock prices
Timmermann, Allan - 1998
Persistent link: https://www.econbiz.de/10000168054
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Structural breaks, incomplete information, and stock prices
Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 3, pp. 299-314
Persistent link: https://www.econbiz.de/10001603250
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Structural breaks, incomplete information and stock prices
Timmermann, Allan - 2001
Persistent link: https://www.econbiz.de/10001574558
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Time variations and covariations in the expectation and volatility of stock market returns
Whitelaw, Robert F. - In: The journal of finance : the journal of the American … 49 (1994) 2, pp. 515-541
Persistent link: https://www.econbiz.de/10001169032
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Inference for unit roots in dynamic panels in the presence of deterministic trends
Harris, Richard D. F.; Tzavalis, Elias - 1997
Persistent link: https://www.econbiz.de/10000966505
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Dividend Taxation and Stock Returns : Time Series Analysis of Canada and Comparison with the United States
Wakil, Gulraze - 2017
Canada (S&P/TSX composite index firms), supporting a dividend tax premium being capitalized into stock returns. While our … dividend and capital gains tax rates is substantially smaller relative to the differences used in the long time series US …
Persistent link: https://www.econbiz.de/10012975521
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Forecasting corporate performance : VECM comparison with other time series models
Darrat, Ali F. (contributor) - In: Studies in economics and finance 19 (1999) 2, pp. 49-61
Persistent link: https://www.econbiz.de/10001441696
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Comovements of earnings, dividends, and stock prices
Lee, Bong-soo - In: Journal of empirical finance 3 (1996) 4, pp. 327-346
Persistent link: https://www.econbiz.de/10001215365
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Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model
Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012
This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...
Persistent link: https://www.econbiz.de/10014043638