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Modelling Momentum Dynamics in the US Dividend-Price Ratio Analysis

In: Challenges of Global Economic and Social Transformations

Author

Listed:
  • Gilles Dufrénot

    (Aix-Marseille School of Economics, 5-9 Bd Maurice Bourdet)

  • Fredj Jawadi

    (University of Lille)

Abstract

We model the momentum properties of the US stock market between 2000 and 2022, applying recent nonlinear time series developments. Our findings show that dividends, prices and excess returns can explain the persistence of the dividend-price ratio. However, extending this specification to consider the influence of behavioural variables of portfolio holders helps us to better reproduce and model this persistence and momentum effects. Overall, while this finding improves the forecasting of long cycles and tests the hypothesis of mean reversion in US stock prices, our conclusion does not apply to the rapid activation of arbitrage opportunities or the market semi-strong efficiency hypothesis.

Suggested Citation

  • Gilles Dufrénot & Fredj Jawadi, 2026. "Modelling Momentum Dynamics in the US Dividend-Price Ratio Analysis," Springer Books, in: Gilles Dufrénot & Takashi Matsuki (ed.), Challenges of Global Economic and Social Transformations, chapter 0, pages 129-162, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-06022-8_7
    DOI: 10.1007/978-3-032-06022-8_7
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