The Cointegration of Dividends and Stock Prices
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 97 === The dividends discount model means that the present stock price is the discount value of dividend. The existing literatures find that there was no linear cointegration between dividends and stock prices or dividend yield was not stationary, so the dividends di...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91822098298315754179 |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 97 === The dividends discount model means that the present stock price is the discount value of dividend. The existing literatures find that there was no linear cointegration between dividends and stock prices or dividend yield was not stationary, so the dividends discount model didn’t hold. The result of dividend discount model break down maybe come from that the relation of dividend and stock price has structural breaks, but dividend discount model is based on linear hypothesis and didn’t considerate structural breaks effect. This article uses Engle-Granger cointegration test for the relation of dividend and stock price. In order to allow for structural breaks we imposing non-linear Fourier function into regression of stock price on dividend. In investigate non-linear cointegration between dividend and stock price, we use S&P 500 Composite Stock Price Index as stock price. By the model that including Fourier function, our empirical evidence supports that there exists a non-linear cointegration between real dividend and real stock price during the period from 1871 to 2008.
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