Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic FactorsReportar como inadecuado




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1

Florida International University, USA

2

Department of Economics, University Park DM 320A, Florida International University, Miami, FL 33199, USA





*

Author to whom correspondence should be addressed.



Abstract We study fluctuations in stock prices using a framework derived from the present value model augmented with a macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in addition to traditional cash dividends, other payouts to shareholders. A stochastic discount factor motivated by the consumption-based asset pricing model is utilized. A single macroeconomic factor, namely the output gap determines the non-fundamental component of stock prices. A resulting trivariate Vector Autoregression TVAR model of stock prices, broad dividends, and the output gap shows evidence of cointegration in the DJIA and SandP 500 index data. Nonetheless, a sup augmented Dickey-Fuller test reveals existence of periodically collapsing bubbles in SandP 500 data during the late 1990s.

Keywords: stock prices; broad dividends; macro factors; cointegration; periodically collapsing bubbles stock prices; broad dividends; macro factors; cointegration; periodically collapsing bubbles





Autor: Man Fu 1 and Prasad V. Bidarkota 2,*

Fuente: http://mdpi.com/



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