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Permanent and transitory components of earnings, dividends, and stock prices

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  • Pan, Ming-Shiun
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 47 (2007)
    Issue (Month): 4 (September)
    Pages: 535-549

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    Handle: RePEc:eee:quaeco:v:47:y:2007:i:4:p:535-549

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    Web page: http://www.elsevier.com/locate/inca/620167

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    1. Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 94(5), pages 953-1001, October.
    2. Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
    3. Danny Quah, 1991. "The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds," NBER Technical Working Papers 0106, National Bureau of Economic Research, Inc.
    4. Owen Lamont, . "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    5. Lee, Bong-Soo, 1996. "Comovements of earnings, dividends, and stock prices," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(4), pages 327-346, December.
    6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
    7. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
    8. John Y. Campbell & Albert S. Kyle, 1988. "Smart Money, Noise Trading and Stock Price Behavior," NBER Technical Working Papers 0071, National Bureau of Economic Research, Inc.
    9. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
    10. Xiaoquan Jiang & Bon-Soo Lee, 2005. "An Empirical Test of the Accounting-Based Residual Income Model and the Traditional Dividend Discount Model," The Journal of Business, University of Chicago Press, vol. 78(4), pages 1465-1504, July.
    11. Lucy F. Ackert & William C. Hunter, 1999. "Intrinsic bubbles: the case of stock prices: a comment," Working Paper Series, Federal Reserve Bank of Chicago WP-99-26, Federal Reserve Bank of Chicago.
    12. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
    13. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
    14. Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
    15. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
    16. Lee, Bong-Soo, 1998. "Permanent, Temporary, and Non-Fundamental Components of Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 1-32, March.
    17. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers, Boston University - Department of Economics 4, Boston University - Department of Economics.
    18. 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.
    19. Flavin, Marjorie A, 1983. "Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(6), pages 929-56, December.
    20. Lucy Ackert & William Hunter, 2001. "An Empirical Examination of the Price-Dividend Relation with Dividend Management," Journal of Financial Services Research, Springer, vol. 19(2), pages 115-129, April.
    21. Kao, Chihwa & Wu, Chunchi, 1994. "Rational Expectations, Information Signalling and Dividend Adjustment to Permanent Earnings," The Review of Economics and Statistics, MIT Press, vol. 76(3), pages 490-502, August.
    22. Ackert, Lucy F & Smith, Brian F, 1993. " Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders," Journal of Finance, American Finance Association, vol. 48(4), pages 1147-60, September.
    23. Garrett, Ian & Priestley, Richard, 2000. "Dividend Behaviour and Dividend Signaling," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(02), pages 173-189, June.
    24. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
    25. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, Econometric Society, vol. 49(3), pages 555-74, May.
    26. Cochrane, John H, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 109(1), pages 241-65, February.
    27. Zhong, Maosen & Darrat, Ali F. & Anderson, Dwight C., 2003. "Do US stock prices deviate from their fundamental values? Some new evidence," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 673-697, April.
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