The dividend yield ratio in the stock markets is, to an extent, comparable to the rent-price ratio in the housing market.Taking advantage of this definitional similarity, one can then use the traditional unit root test for log dividend yield in this case, the log rent-price ratio to test for the...

This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling samples. The performance of the indicator is tested...

The dividend yield ratio in the stock markets is, to an extent, comparable to the rent-price ratio in the housing market. Taking advantage of this definitional similarity, one can then use the traditional unit root test for log dividend yield – in this case, the log rent-price ratio – to...

Tests for unit roots in log dividend yields, which are consistent with ‘rational bubbles’ in stock prices, are conducted for the S&P500 and Finnish stock market indexes. In addition to the traditional unit root tests, we split the data into 10-year segments and use frequency domain analysis...