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Shanghai Stock Prices as Determined by the Present Value Model

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  • Gregory C. Chow

    (Princeton University)

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    Abstract

    Derived 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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    File URL: http://128.118.178.162/eps/fin/papers/0306/0306003.pdf
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    Bibliographic Info

    Paper provided by EconWPA in its series Finance with number 0306003.

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    Date of creation: 10 Jun 2003
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    Handle: RePEc:wpa:wuwpfi:0306003

    Note: Published in Journal of Comparative Economics 27, 553–561 (1999)
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    Web page: http://128.118.178.162

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    Keywords: Finance;

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    1. 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.
    2. 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.
    3. Chow, Gregory C, 1989. "Rational versus Adaptive Expectations in Present Value Models," The Review of Economics and Statistics, MIT Press, vol. 71(3), pages 376-84, August.
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