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The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study

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Author Info
John Y. Campbell
Robert J. Shiller

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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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0067.

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Date of creation: Jul 1988
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Handle: RePEc:nbr:nberte:0067

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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. 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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. Marsh, Terry A & Merton, Robert C, 1986. "Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices," American Economic Review, American Economic Association, vol. 76(3), pages 483-98, June. [Downloadable!] (restricted)
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  4. Joe Mattey & Richard Meese, 1986. "Empirical assessment of present value relations," Econometric Reviews, Taylor and Francis Journals, vol. 5(2), pages 171-234. [Downloadable!] (restricted)
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  5. 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)
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  1. Mercereau, Benôit & 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. [Downloadable!]
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