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The dividend ratio model and small sample bias : A Monte Carlo study

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  • Campbell, John Y.
  • Shiller, Robert J.

Abstract

Small sample properties of parameter estimates and test statistics in the vector autoregressive dividend ratio model (Campbell and Shiller [1988 a,b]) are derived by stochastic simulation. The data generating processes are co integrated vector autoregressive models, estimated subject to restrictions implied by the dividend ratio model, or altered to show a unit root.

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File URL: http://www.sciencedirect.com/science/article/B6V84-45D0N04-15/2/754dcd89ad47299ed7433c6b6522d91a
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 29 (1989)
Issue (Month): 4 ()
Pages: 325-331

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Handle: RePEc:eee:ecolet:v:29:y:1989:i:4:p:325-331

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References

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  1. Joe Mattey and Richard Meese., 1986. "Empirical Assessment of Present Value Relations," Research Program in Finance Working Papers 162, University of California at Berkeley.
  2. John Y. Campbell & Robert J. Shiller, 1989. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
  3. Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October.
  4. Marsh, Terry A. & Merton, Robert C., 1984. "Dividend variability and variance bounds tests for the rationality of stock market prices," Working papers 1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  5. Flavin, Marjorie A, 1983. "Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 91(6), pages 929-56, December.
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Cited by:
  1. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  2. Oliver D. Bunn & Robert J. Shiller, . "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," Cowles Foundation Discussion Papers 1950, Cowles Foundation for Research in Economics, Yale University.
  3. Mercereau, BenoƮt & Miniane, Jacques Alain, 2008. "Should We Trust the Empirical Evidence from Present Value Models of the Current Account?," Economics Discussion Papers 2008-10, Kiel Institute for the World Economy.
  4. Alina Lucia Trifan, 2009. "Testing Capital Asset Pricing Model For Romanian Capital Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 43.

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