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Intrinsic bubbles revisited: Evidence from nonlinear cointegration and forecasting

Ma, Yue, Kanas, Angelos (2004) Intrinsic bubbles revisited: Evidence from nonlinear cointegration and forecasting. Journal of Forecasting, 23 (4). pp. 237-250. ISSN 0277-6693. (doi:10.1002/for.909) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1002/for.909

Abstract

This paper offers strong further empirical evidence to support the intrinsic bubble model of stock prices, developed by Froot and Obstfeld (American Economic Review, 1991), in two ways. First, our results suggest that there is a long-run nonlinear relationship between stock prices and dividends for the US stock market during the period 1871-1996. Second, we find that the out-of-sample forecasting performance of the intrinsic bubbles model is significantly better than the performance of two alternatives, namely the random walk and the rational bubbles model. Copyright © 2004 John Wiley & Sons, Ltd.

Item Type: Article
DOI/Identification number: 10.1002/for.909
Uncontrolled keywords: Forecasting, Intrinsic bubbles, Kalman filter, Nonlinear cointegration, Random walk, Estimation, Finance, Industrial economics, Integration, Kalman filtering, Least squares approximations, Mathematical models, Nonlinear systems, Intrinsic bubbles, Nonlinear cointegration, Random walk, Stock prices, Forecasting
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 14:03 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41150 (The current URI for this page, for reference purposes)
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