Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model

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This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard nonseasonal u...

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Detalles Bibliográficos
Autores: Shirwani, Hassan, Delcoure, Natalya, Wilbratte, Barry J.
Formato: artículo
Fecha de Publicación:2011
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/194789
Enlace del recurso:https://repositorio.pucp.edu.pe/index/handle/123456789/194789
Nivel de acceso:acceso abierto
Materia:Equity valuation
Market efficiency
Seasonal integration
Time-series data
https://purl.org/pe-repo/ocde/ford#5.02.04
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spelling Shirwani, HassanDelcoure, NatalyaWilbratte, Barry J.2023-07-21T19:18:14Z2023-07-21T19:18:14Z2011https://repositorio.pucp.edu.pe/index/handle/123456789/194789This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard nonseasonal unit roots, we find evidence of periodic seasonal integration in these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the efficient market hypothesis.engPontificia Universidad Católica del Perú. CENTRUMPEurn:issn:1851-6599info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Journal of CENTRUM Cathedra, Vol. 4, Issue 1reponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPEquity valuationMarket efficiencySeasonal integrationTime-series datahttps://purl.org/pe-repo/ocde/ford#5.02.04Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Modelinfo:eu-repo/semantics/articleArtículoTHUMBNAILJCC-4.1-51.pdf.jpgJCC-4.1-51.pdf.jpgIM Thumbnailimage/jpeg28494https://repositorio.pucp.edu.pe/bitstreams/1c612794-abd7-4203-9d1b-b12495c64078/download6551fe097f468b5373c8baad53d760a4MD52falseAnonymousREADORIGINALJCC-4.1-51.pdfJCC-4.1-51.pdfTexto completoapplication/pdf152117https://repositorio.pucp.edu.pe/bitstreams/39e00e50-6028-4d9a-add7-74afe38957ec/download9abc7f17a45da151495708651bbb04c7MD51trueAnonymousREADTEXTJCC-4.1-51.pdf.txtJCC-4.1-51.pdf.txtExtracted texttext/plain78487https://repositorio.pucp.edu.pe/bitstreams/5ed49b43-1b2f-4301-b23e-329c898b05b4/download2cd3a2fb6b4c291beabd32dbd1f04994MD53falseAnonymousREAD20.500.14657/194789oai:repositorio.pucp.edu.pe:20.500.14657/1947892025-04-11 09:58:18.471http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.en_US.fl_str_mv Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
title Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
spellingShingle Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
Shirwani, Hassan
Equity valuation
Market efficiency
Seasonal integration
Time-series data
https://purl.org/pe-repo/ocde/ford#5.02.04
title_short Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
title_full Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
title_fullStr Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
title_full_unstemmed Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
title_sort Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
author Shirwani, Hassan
author_facet Shirwani, Hassan
Delcoure, Natalya
Wilbratte, Barry J.
author_role author
author2 Delcoure, Natalya
Wilbratte, Barry J.
author2_role author
author
dc.contributor.author.fl_str_mv Shirwani, Hassan
Delcoure, Natalya
Wilbratte, Barry J.
dc.subject.en_US.fl_str_mv Equity valuation
Market efficiency
Seasonal integration
Time-series data
topic Equity valuation
Market efficiency
Seasonal integration
Time-series data
https://purl.org/pe-repo/ocde/ford#5.02.04
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.04
description This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard nonseasonal unit roots, we find evidence of periodic seasonal integration in these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the efficient market hypothesis.
publishDate 2011
dc.date.accessioned.none.fl_str_mv 2023-07-21T19:18:14Z
dc.date.available.none.fl_str_mv 2023-07-21T19:18:14Z
dc.date.issued.fl_str_mv 2011
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.other.none.fl_str_mv Artículo
format article
dc.identifier.uri.none.fl_str_mv https://repositorio.pucp.edu.pe/index/handle/123456789/194789
url https://repositorio.pucp.edu.pe/index/handle/123456789/194789
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:1851-6599
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
dc.publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.publisher.country.none.fl_str_mv PE
publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.source.es_ES.fl_str_mv Journal of CENTRUM Cathedra, Vol. 4, Issue 1
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
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reponame_str PUCP-Institucional
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Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
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