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Shanghai Stock Prices as Determined by the Present Value Model

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Listed:
  • Gregory C. Chow

    (Princeton University)

Abstract

Derived from the present-value model of stock prices, our model implies that the log stock price is a linear function of expected log dividends and the expected rate of growth of dividends where expectations are formed adaptively. The model explains very well the prices of 47 stocks traded on the Shanghai Stock Exchange observed at the beginning of 1996, 1997, and 1998. The estimated parameters are remarkably similar to those reported for stocks traded on the Hong Kong Stock Exchange and the New York Stock Exchange.

Suggested Citation

  • Gregory C. Chow, 2003. "Shanghai Stock Prices as Determined by the Present Value Model," Finance 0306003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0306003
    Note: Published in Journal of Comparative Economics 27, 553–561 (1999)
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    References listed on IDEAS

    as
    1. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    2. Chow, Gregory C, 1989. "Rational versus Adaptive Expectations in Present Value Models," The Review of Economics and Statistics, MIT Press, vol. 71(3), pages 376-384, August.
    3. Robert B. Barsky & J. Bradford De Long, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(2), pages 291-311.
    Full references (including those not matched with items on IDEAS)

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    Finance;

    JEL classification:

    • G - Financial Economics

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