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Empirical evidence on periodically collapsing stock price bubbles

Author

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  • Gunther Capelle-Blancard

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CADRE - Université de Lille, Droit et Santé)

  • Hélène Raymond-Feingold

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CADRE - Université de Lille, Droit et Santé)

Abstract

According to the dividend discount model (DDM), a long run relationship should exist between stock prices and dividends. In this paper, in order to test the validity of the DDM on the French, German, Japanese, UK and US stock markets from 1973 to 2002, we implement cointegration tests corrected for skewness and excess kurtosis. As dividends distribution may be affected by stock repurchases strategies, we adjust the test by taking earnings into account. The results do not allow to reject the speculative bubble hypothesis.

Suggested Citation

  • Gunther Capelle-Blancard & Hélène Raymond-Feingold, 2004. "Empirical evidence on periodically collapsing stock price bubbles," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00265671, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00265671
    DOI: 10.1080/1350485042000187480
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    Cited by:

    1. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February.
    2. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "Cointegration of the prices of gold and silver: RALS-based evidence," Finance Research Letters, Elsevier, vol. 15(C), pages 133-137.
    3. Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
    4. Nawazish Mirza & Ayesha Afzal, 2012. "Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 55-86, June.
    5. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
    6. Zeren Feyyaz & Yilanci Veli, 2019. "Are there Multiple Bubbles in the Stock Markets? Further Evidence from Selected Countries," Ekonomika (Economics), Sciendo, vol. 98(1), pages 81-95, June.
    7. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 298-315, June.
    8. George A. Waters & James E. Payne, 2007. "REIT markets and rational speculative bubbles: an empirical investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 747-753.
    9. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for rational bubbles in banking indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 365-376.

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