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Nonlinearity in the stock price-dividend relation

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  • Kanas, Angelos

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  • Kanas, Angelos, 2005. "Nonlinearity in the stock price-dividend relation," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 583-606, June.
    • Handle: RePEc:eee:jimfin:v:24:y:2005:i:4:p:583-606
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    2. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
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    4. Richard A. Meese & Andrew K. Rose, 1991. "An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 603-619.
    5. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
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    7. repec:bla:jfinan:v:43:y:1988:i:3:p:661-76 is not listed on IDEAS
    8. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Intrinsic Bubbles: The Case of Stock Prices," American Economic Review, American Economic Association, vol. 81(5), pages 1189-1214, December.
    9. Chinn, Menzie David, 1991. "Some linear and nonlinear thoughts on exchange rates," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 214-230, June.
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    13. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(1), pages 99-125.
    14. John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," The Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
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    17. 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.
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    19. Kenneth D. West, 1988. "Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation," NBER Working Papers 2574, National Bureau of Economic Research, Inc.
    20. van Norden, Simon & Schaller, Huntley, 1993. "The Predictability of Stock Market Regime: Evidence from the Toronto Stock Exchange," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 505-510, August.
    21. Granger, Clive W J & Hallman, Jeffrey J, 1991. "Long Memory Series with Attractors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 11-26, February.
    22. Flood, Robert P & Garber, Peter M, 1980. "Market Fundamentals versus Price-Level Bubbles: The First Tests," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 745-770, August.
    23. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    24. Flood, Robert P & Hodrick, Robert J, 1986. "Asset Price Volatility, Bubbles, and Process Switching," Journal of Finance, American Finance Association, vol. 41(4), pages 831-842, September.
    25. Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
    26. DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992. "The power problems of unit root test in time series with autoregressive errors," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 323-343.
    27. Gerald P. Dwyer & Rik Hafer, 1989. "Do fundamentals, bubbles or neither determine stock prices? Some international evidence," Working Papers 1989-003, Federal Reserve Bank of St. Louis.
    28. Paul R. Krugman, 1987. "Trigger Strategies and Price Dynamics in Equity and Foreign Exchange Markets," NBER Working Papers 2459, National Bureau of Economic Research, Inc.
    29. Behzad T. Diba & Herschel I. Grossman, 1986. "On the Inception of Rational Bubbles in Stock Prices," NBER Working Papers 1990, National Bureau of Economic Research, Inc.
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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. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
    3. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2547-2560.
    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. Bonga-Bonga, Lumengo & Mwamba, Muteba, 2015. "A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models," MPRA Paper 62028, University Library of Munich, Germany.
    6. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    7. Dooruj Rambaccussing, 2011. "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers 1113, Department of Applied Economics II, Universidad de Valencia.
    8. Venus Khim-Sen Liew & Zhuo Qiao & Wing-keung Wong, 2010. "Linearity and stationarity of G7 government bond returns," Economics Bulletin, AccessEcon, vol. 30(4), pages 2642-2655.
    9. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
    10. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
    11. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
    12. John Goddard & David Mcmillan & John Wilson, 2008. "Dividends, prices and the present value model: firm-level evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 195-210.
    13. Nikolaos Mitianoudis & Theologos Dergiades, 2016. "Stock Prices Predictability at Long-horizons: Two Tales from the Time-Frequency Domain," Discussion Paper Series 2016_04, Department of Economics, University of Macedonia, revised Dec 2016.
    14. Kassouri YACOUBA & Halil ALTINTAS, 2019. "The Asymmetric Impact of Macroeconomic Shocks on Stock Returns in Turkey: A Nonlinear ARDL Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 98-116, June.
    15. 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.
    16. Rambaccussing, Dooruj, 2010. "A real-time trading rule," MPRA Paper 27148, University Library of Munich, Germany.
    17. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    18. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2013. "Testing for the existence of a bubble in the stock market," Wismar Discussion Papers 01/2013, Hochschule Wismar, Wismar Business School.
    19. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
    20. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
    21. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 1305, Department of Applied Economics II, Universidad de Valencia.
    22. Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31.
    23. R. Gopinathan & S. Raja Sethu Durai, 2019. "Stock market and macroeconomic variables: new evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-17, December.

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