کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477798 | 930633 | 2005 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Nonlinearity in the stock price-dividend relation
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Nonlinearity in the stock price-dividend relation Nonlinearity in the stock price-dividend relation](/preview/png/10477798.png)
چکیده انگلیسی
We provide empirical evidence of nonlinearities in the present value (PV) model of stock prices. We test for nonlinearity both in the contemporaneous and in the dynamic stock price-dividend relation for the UK, the US, Japan, and Germany. We employed three nonlinear nonparametric techniques, namely nonlinear cointegration, locally-weighted regression, and nonlinear Granger causality tests. Whilst there is no evidence of linear cointegration and Granger causality for any country, there is significant evidence of nonlinear cointegration and nonlinear Granger causality for all four countries. Furthermore, out-of-sample forecasts obtained from the locally-weighted regression are more accurate than out-of-sample forecasts obtained from the linear model for the UK, the US, and Japan. These results are robust to sub-period analysis. The results are in line with empirical evidence that expected stock returns are time-varying.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 24, Issue 4, June 2005, Pages 583-606
Journal: Journal of International Money and Finance - Volume 24, Issue 4, June 2005, Pages 583-606
نویسندگان
Angelos Kanas,