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Permanent and transitory components of earnings, dividends, and stock prices

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  • Pan, Ming-Shiun

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  • Pan, Ming-Shiun, 2007. "Permanent and transitory components of earnings, dividends, and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(4), pages 535-549, September.
    • Handle: RePEc:eee:quaeco:v:47:y:2007:i:4:p:535-549
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    8. Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-118, January.
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    10. John H. Cochrane, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(1), pages 241-265.
    11. William C. Hunter & Lucy F. Ackert, 1999. "Intrinsic Bubbles: The Case of Stock Prices: Comment," American Economic Review, American Economic Association, vol. 89(5), pages 1372-1376, December.
    12. Summers, Lawrence H, 1986. "Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
    13. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
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    23. Lucy Ackert & William Hunter, 2001. "An Empirical Examination of the Price-Dividend Relation with Dividend Management," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(2), pages 115-129, April.
    24. Kao, Chihwa & Wu, Chunchi, 1994. "Rational Expectations, Information Signalling and Dividend Adjustment to Permanent Earnings," The Review of Economics and Statistics, MIT Press, vol. 76(3), pages 490-502, August.
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    30. Xiaoquan Jiang & Bon-Soo Lee, 2005. "An Empirical Test of the Accounting-Based Residual Income Model and the Traditional Dividend Discount Model," The Journal of Business, University of Chicago Press, vol. 78(4), pages 1465-1504, July.
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    Cited by:

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    2. Yang, Insun & Koveos, Peter & Barkley, Tom, 2015. "Permanent sales increase and investment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 15-33.
    3. Velinov, Anton, 2018. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 2(1), pages 106-126.
    4. Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017. "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 146-157.
    5. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    6. Velinov, Anton & Chen, Wenjuan, 2015. "Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis," Journal of Economics and Business, Elsevier, vol. 80(C), pages 1-20.

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