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Stock prices and the dividend discount model: did their relation break down in the 1990s?

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  • Nasseh, Alireza
  • Strauss, Jack

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  • Nasseh, Alireza & Strauss, Jack, 2004. "Stock prices and the dividend discount model: did their relation break down in the 1990s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 191-207, May.
  • Handle: RePEc:eee:quaeco:v:44:y:2004:i:2:p:191-207
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    4. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    5. Martin Feldstein, 1983. "Inflation, Tax Rules, and the Stock Market," NBER Chapters,in: Inflation, Tax Rules, and Capital Formation, pages 199-220 National Bureau of Economic Research, Inc.
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    8. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
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    11. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
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    14. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
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    16. Sung, Hyun Mo & Urrutia, Jorge L, 1995. "Long-Term and Short-Term Causal Relations between Dividends and Stock Prices: A Test of Lintner's Dividend Model and the Present Value Model of Stock Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 171-188, Summer.
    17. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
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    22. Timmermann, Allan, 1995. "Cointegration Tests of Present Value Models with a Time-Varying Discount Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 17-31, Jan.-Marc.
    23. Crowder, William J & Wohar, Mark E, 1998. "Stock Price Effects of Permanent and Transitory Shocks," Economic Inquiry, Western Economic Association International, vol. 36(4), pages 540-552, October.
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    26. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, vol. 109(2), pages 195-237, August.
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    Cited by:

    1. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
    2. Ye, Yonggang & Chang, Tsangyao & Hung, Ken & Lu, Yang-Cheng, 2011. "Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(2), pages 346-357.
    3. Ozan Hatipoglu & Onur Uyar, 2012. "Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S5), pages 64-75, November.
    4. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 668-686.
    5. Ramzi Boussaidi & Abaoub Ezzeddine, 2016. "The dynamics of Stock price adjustment to fundamentals: an empirical essay via STAR models in the Tunisian stock market," Economics Bulletin, AccessEcon, vol. 36(2), pages 813-826.
    6. repec:ipg:wpaper:2014-462 is not listed on IDEAS
    7. Olsen, Robert A., 2008. "Trust as risk and the foundation of investment value," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(6), pages 2189-2200, December.
    8. Nicholas Mangee, 2016. "Can structural change explain the Meese-Rogoff puzzle?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(2), pages 211-234, April.
    9. Ozan Hatipoglu & Onur Uyar, 2012. "Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(S5), pages 64-75, November.

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