Empirical evidence on periodically collapsing stock price bubbles
According to the dividend discount model (DDM), a long run relationship should exist between stock prices and dividends. In this study, in order to test the validity of the DDM on the French, German, Japanese, UK and US stock markets from 1973 to 2002, cointegration tests corrected for skewness and excess kurtosis are implemented. As dividends distribution may be affected by stock repurchases strategies, the test is adjusted by taking earnings into account. It is found that the speculative bubble hypothesis cannot be rejected.
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Volume (Year): 11 (2004)
Issue (Month): 1 ()
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References listed on IDEAS
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- John Y. Campbell, Robert J. Shiller, 1988.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,"
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- Engle, Robert & Granger, Clive, 2015.
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Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
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- Sarno, Lucio & Taylor, Mark P., 1999. "Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 637-657, August.
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