Shanghai Stock Prices as Determined by the Present Value Model
AbstractDerived from the present-value model of stock prices, our model implies that the log stock price is a linear function of expected log dividends and the expected rate of growth of dividends where expectations are formed adaptively. The model explains very well the prices of 47 stocks traded on the Shanghai Stock Exchange observed at the beginning of 1996, 1997, and 1998. The estimated parameters are remarkably similar to those reported for stocks traded on the Hong Kong Stock Exchange and the New York Stock Exchange.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0306003.
Date of creation: 10 Jun 2003
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Note: Published in Journal of Comparative Economics 27, 553–561 (1999)
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Find related papers by JEL classification:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-06-16 (All new papers)
- NEP-CFN-2003-06-16 (Corporate Finance)
- NEP-FIN-2003-06-16 (Finance)
- NEP-TRA-2003-06-16 (Transition Economics)
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