A reexamination of relationships between stock prices and dividends
| Autor: | Ching-Huei Chen, 陳青慧 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 Employing Panel FMOLS Model and Panel VECM Model, this paper reexamines the long-run stable relations and the short-run dynamics between stock prices and dividends for firms in the S&P 100. First, the result indicates that there exist cointegrating relations between stock prices and dividends. However, the evidence does not support the one-for-one cointegrating equilibrium between them. Second, there is only one-way Granger-causality between the changes in stock prices and dividends. The current capital gains will be affected by the last two seasons of dividends and previous season of interest in the short run. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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