کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083218 1477794 2017 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets
ترجمه فارسی عنوان
تعدیل نامتقارن و شکاف صاف در سود سهام: شواهد از بازارهای سهام بین المللی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Based on a present value model with time-varying expected returns, this paper examines the bubble-like behavior in the logarithm of the dividend yields of eight international stock markets under the assumptions of an asymmetric adjustment and structural breaks, respectively. To this end, we adopt a number of nonlinear unit root tests and propose a new test for the null hypothesis of a unit root against the alternative hypothesis that encompasses the asymmetric adjustment and two smooth breaks in the trend at the same time. Among the main results, it is found that the hypothesis of a unit root cannot be rejected for the logarithm of the dividend yields of these stock markets based on the conventional linear unit root tests. However, empirical results favor the presence of a structural break for the indexes of the DAX 30, FTSE Denmark and Nikkei 500. With the exception of BEL 20, the empirical results do not demonstrate strong evidence of an asymmetric adjustment for the logarithm of the dividend yield, implying that the hypothesis of the periodically collapsing bubbles is not empirically verified for these stock markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 48, March 2017, Pages 339-354
نویسندگان
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