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The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
prices and the log dividends. However, the empirical results also show that the cointegrating relationship has changed over …
Persistent link: https://www.econbiz.de/10011745804
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The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
prices and the log dividends. However, the empirical results also show that the cointegrating relationship has changed over …
Persistent link: https://www.econbiz.de/10011745419
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The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - Asociación Española de Economía y Finanzas … - 2013
cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing …
Persistent link: https://www.econbiz.de/10010856699
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Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
Kim, Chang-Jin; Park, Cheolbeom - Institute of Economic Research, Korea University - 2012
model in which the long-run relationship between the dividends and stock price is time-varying. An adjusted dividend …
Persistent link: https://www.econbiz.de/10010535390
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The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - Departament d'Estructura Econòmica, Facultad de Economía - 2013
cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing …
Persistent link: https://www.econbiz.de/10010604097
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Holding Period Return-Risk Modeling: The Importance of Dividends
Hallerbach, Winfried - Erasmus Research Institute of Management (ERIM), … - 2003
In this paper we explore the relevance of dividends in the total equity return over longer time horizons. In addition …, we investigate the effects of different reinvestment assumptions of dividends. We use a unique set of revised and … corrected US equity data series, comprising monthly prices and dividends based on consistent definitions over the period 1871 …
Persistent link: https://www.econbiz.de/10010731084
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Holding Period Return-Risk Modeling :The Importance of Dividends
HALLERBACH, WINFRIED G.. - In: Estudios de Economía Aplicada 23 (2005) Abril, pp. 45-65
In this paper we explore the relevance of dividends in the total equity return over longer time horizons. In addition …, we investigate the effects of different reinvestment assumptions of dividends. We use a unique set of revised and … corrected US equity data series, comprising monthly prices and dividends based on consistent definitions over the period 1871 …
Persistent link: https://www.econbiz.de/10005075762
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Estimating unknown arbitrage costs : evidence from a three-regime threshold vector error correction model
Ters, Kristyna; Urban, Jörg - 2018
Persistent link: https://www.econbiz.de/10011865846
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Price dynamics, the law of one price, and quantile regressions
Santeramo, Fabio Gaetano - In: Journal of agricultural and resource economics : JARE ; … 47 (2022) 3, pp. 513-528
Persistent link: https://www.econbiz.de/10013399789
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Monetary environments and stock returns revisited: A quantile regression approach
Chevapatrakul, Thanaset - In: Economics Letters 123 (2014) 2, pp. 122-126
We investigate the impact of monetary conditions on stock market returns at different points on the return distributions. Our results reveal no association between stock returns and monetary environments at the lower quantiles. At the upper quantiles, however, we find that expansive monetary...
Persistent link: https://www.econbiz.de/10010906377