cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing … on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed …

empirical evaluation of the dividend policy of Austrian firms examining corporate earnings, dividends and inflation. Additional …

developments imply bivariate cointegration among stock prices, dividends, output and consumption where independent models identify … key theoretical cointegration vectors Design/methodology/approach –This paper considers both Johansen and Horvath …–Watson testing approaches for cointegration. This paper also examines the forecasting power of these cointegrating relationships …

cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing … on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed …

regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …