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Empirical evidence on periodically collapsing stock price bubbles

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Author Info
G. Capelle-Blancard
H. Raymond

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Abstract

According to the dividend discount model (DDM), a long run relationship should exist between stock prices and dividends. In this study, in order to test the validity of the DDM on the French, German, Japanese, UK and US stock markets from 1973 to 2002, cointegration tests corrected for skewness and excess kurtosis are implemented. As dividends distribution may be affected by stock repurchases strategies, the test is adjusted by taking earnings into account. It is found that the speculative bubble hypothesis cannot be rejected.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 1 (January)
Pages: 61-69
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Handle: RePEc:taf:apeclt:v:11:y:2004:i:1:p:61-69

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. 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. [Downloadable!] (restricted)
    Other versions:
  2. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  3. Sarno, Lucio & Taylor, Mark P., 1999. "Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 637-657, August. [Downloadable!] (restricted)
  4. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Intrinsic Bubbles: The Case of Stock Prices," American Economic Review, American Economic Association, vol. 81(5), pages 1189-214, December. [Downloadable!] (restricted)
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  5. Taylor, Mark P. & Peel, David A., 1998. "Periodically collapsing stock price bubbles: a robust test," Economics Letters, Elsevier, vol. 61(2), pages 221-228, November. [Downloadable!] (restricted)
  6. Diba, Behzad T & Grossman, Herschel I, 1987. "On the Inception of Rational Bubbles," The Quarterly Journal of Economics, MIT Press, vol. 102(3), pages 697-700, August. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. James E. Payne & George A. Waters, 2005. "REIT markets: periodically collapsing negative bubbles?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 65-69, March. [Downloadable!] (restricted)
  2. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February. [Downloadable!] (restricted)
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This page was last updated on 2009-12-5.

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