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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/78872

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78872

Title:	Reconfirming Non-linearity in the Stock Price-Dividend Relation: Evidence from Long Span Data for the U.S.
Authors:	Chen, Shyh-Wei;Shen, Chung-Hua 沈中華
Contributors:	金融系
Keywords:	Dividend;Stock Price;Stocks
Date:	2007-07
Issue Date:	2015-10-06 15:49:07 (UTC+8)
Abstract:	This paper attempts to detect non-linear contemporaneous and dynamic relations in the stock price-dividend relation in the U.S. based on long span data. From a linear cointegration test, we find very little evidence of a contemporaneous relation between real stock price and real dividend, but from a non-linear cointegration test we find a strong non-linear long-run relation. We also find solid evidence of linear and non-linear Granger bidirectional causality between the real stock price and real dividend. The results provide full support for the position most often cited in the extant literature that, in order to explain the behavior of stock price, the non-linear property should be taken into the linear PV model.
Relation:	Empirical Economics Letters, 6(4), 323-333
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

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