This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The price-dividend relationship in inflationary and deflationary regimes

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jakob B Madsen (University of Copenhagen)
Costas Milas () (Keele University, Department of Economics)

Additional information is available for the following registered author(s):

Abstract

This paper argues that the linear price- dividend relationship as predicted in the Gordon (1962) model breaks down in regimes of high inflation and deflation. Using data for the US and the UK over the period from 1871 to 2002, nonlinear estimates support the prediction of the model.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.keele.ac.uk/depts/ec/wpapers/kerp0509.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Centre for Economic Research, Keele University in its series Keele Economics Research Papers with number KERP 2005/09.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 18 pages
Date of creation: Jul 2005
Date of revision:
Publication status: Published in Finance Research Letters, Vol. 2, 2005, pages 260-269. [ doi:10.1016/j.frl.2005.06.001 ]
Handle: RePEc:kee:kerpuk:2005/09

Contact details of provider:
Postal: Department of Economics, University of Keele, Keele, Staffordshire, ST5 5BG - United Kingdom
Phone: +44 (0)1782 584581
Fax: +44 (0)1782 717577
Email:
Web page: http://www.keele.ac.uk/depts/ec/cer/
More information through EDIRC

Order Information:
Postal: Centre for Economic Research, Research Institute for Public Policy and Management, Keele University, Staffordshire ST5 5BG - United Kingdom
Email:
Web: http://www.keele.ac.uk/depts/ec/cer/pubs_kerps.htm

For technical questions regarding this item, or to correct its listing, contact: (Martin E. Diedrich).

Related research
Keywords: Regime-switching nonlinearity price-dividend relationship inflation and deflation.

Other versions of this item:

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

This paper has been announced in the following NEP Reports:

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 & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
    Other versions:
  2. Michaely, Roni & Thaler, Richard H & Womack, Kent L, 1995. " Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?," Journal of Finance, American Finance Association, vol. 50(2), pages 573-608, June. [Downloadable!] (restricted)
    Other versions:
  3. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
  4. Friedman, Milton, 1977. "Nobel Lecture: Inflation and Unemployment," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 451-72, June. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. Jansen, Eilev S & Terasvirta, Timo, 1996. "Testing Parameter Constancy and Super Exogeneity in Econometric Equations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 735-63, November.
    Other versions:
  7. DeAngelo, Harry & DeAngelo, Linda & Skinner, Douglas J, 1992. " Dividends and Losses," Journal of Finance, American Finance Association, vol. 47(5), pages 1837-63, December. [Downloadable!] (restricted)
  8. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April. [Downloadable!] (restricted)
  9. Mick Silver & Christos Ioannidis, 2001. "Intercountry Differences in the Relationship between Relative Price Variability and Average Prices," Journal of Political Economy, University of Chicago Press, vol. 109(2), pages 355-374, April. [Downloadable!] (restricted)
  10. Lucy F. Ackert & William C. Hunter, 1999. "Intrinsic Bubbles: The Case of Stock Prices: Comment," American Economic Review, American Economic Association, vol. 89(5), pages 1372-1376, December. [Downloadable!] (restricted)
  11. Jakob B Madsen & E Philip Davis, 2003. "Equity Prices, Productivity Growth, And ‘The New Economy’," Economics and Finance Discussion Papers 03-04, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  12. Lucy F. Ackert & William C. Hunter, 1999. "Intrinsic bubbles: the case of stock prices: a comment," Working Paper Series WP-99-26, Federal Reserve Bank of Chicago.
  13. Barsky, Robert B & De Long, J Bradford, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, MIT Press, vol. 108(2), pages 291-311, May. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? RePEc data is maintained by each archive holder on its own website. Nothing is held centrally.

This page was last updated on 2008-8-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.