Rational bubbles or persistent deviations from market fundamentals?

Autor:	Zisimos Koustas, Apostolos Serletis
Rok vydání:	2005
Předmět:	Economics and Econometrics Mean reversion Econometrics Dividend yield Economics Monetary economics Unit root Null hypothesis Finance Stock (geology)
Zdroj:	Journal of Banking & Finance. 29:2523-2539
ISSN:	0378-4266
DOI:	10.1016/j.jbankfin.2004.09.003
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5f48a40650faf60f27e423ea5d3fc1ca https://doi.org/10.1016/j.jbankfin.2004.09.003 Zobrazit plný text záznamu Full Text from ScienceDirect