| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5091331 | Journal of Banking & Finance | 2005 | 17 Pages |
Abstract
Tests for fractional integration in the S&P 500 log dividend yield are conducted in order to test the proposition that exogenous shocks have permanent effects. The presence of a unit root in the log dividend yield is consistent with 'rational bubbles' in stock prices. Our findings, based on tests for fractional integration, yield robust rejections of the null hypothesis of rational bubbles. The results strongly suggest that the log dividend yield is mean reverting.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Zisimos Koustas, Apostolos Serletis,