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Non-linear cointegration between stock prices and dividends

Kanas, Angelos (2003) Non-linear cointegration between stock prices and dividends. Applied Economics Letters, 10 (7). pp. 401-405. ISSN 1350-4851. (doi:10.1080/1350485022000044020) (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/10.1080/1350485022000044020

Abstract

This article uses the ACE algorithm to non-linearly transform stock prices and dividends for the USA for the period 1871-1999. It finds strong evidence of cointegration between the transformed variables, which can be characterized as non-linear cointegration. It concludes that departures from the linear present value model may be explained by misspecification of the model, which is attributed to the absence of appropriate nonlinear transformations of the variables. Our findings are in line with models that introduce nonlinearities in the relation between stock prices and dividends.

Item Type: Article
DOI/Identification number: 10.1080/1350485022000044020
Uncontrolled keywords: cointegration analysis, price dynamics, stock market
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 15:13 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41163 (The current URI for this page, for reference purposes)
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