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exclusion of dividends understates the benefits of diversification and has an influence on optimum portfolio selection and …
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This paper examines the causal relationship between real dividends and stock market prices for the USA using the Markov …-switching vector autoregressive model (MS-VAR). The results indicate that both real dividends and stock market prices have one order of … dividends but not vice versa. The finding that real dividends are not informational in predicating future movements in stock …
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prices and the log dividends. However, the empirical results also show that the cointegrating relationship has changed over …
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This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...
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