Linear and Nonlinear Relationship between Stock Prices and Dividends
Chi-Wei Su
Sold by buchversandmimpf2000, Emtmannsberg, BAYE, Germany
AbeBooks Seller since 23 January 2017
New - Soft cover
Condition: New
Quantity: 2 available
Add to basketSold by buchversandmimpf2000, Emtmannsberg, BAYE, Germany
AbeBooks Seller since 23 January 2017
Condition: New
Quantity: 2 available
Add to basketNeuware -This study investigates the relationship between stock prices and dividends in Taiwan stock market during the June 1991 to February 2005 period. We employ linear, nonlinear and panel techniques which provide a much stronger test to examine the relationship between stock prices and dividends. Our results suggest that there is a long-run nonlinear relationship between stock prices and dividends. We found that present value model is more suitable with time-varying expected returns provides an empirically valid description of Taiwan stock price behavior in the long-run, while short-run deviations of actual stock prices from present value prices are driven by rational bubbles. Compared to conventional cointegration approach this technique produces more convincing evidence of the time series properties of the dividend and price, the momentum threshold autoregressive (MTAR) method is flexible enough to capture non-linear adjustment patterns and support the existence of stock price increases relative to fundamentals in Taiwan stock market.Books on Demand GmbH, Überseering 33, 22297 Hamburg 88 pp. Englisch.
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