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Tekijä: | Sung, H. Urruita, J. |
Otsikko: | Long-term and short-term causal relation between dividends and stock prices: a test of Lintner's dividend model and the present value model of stock prices |
Lehti: | Journal of Financial Research
1995 : SUMMER, VOL. 18:2, p. 171-188 |
Asiasana: | DIVIDENDS SHARE PRICES FINANCE |
Kieli: | eng |
Tiivistelmä: | In this paper the authors test the joint implications for the intertemporal behaviour of stock prices and dividends expressed in the Lintner dividend model and the present value model of stock prices. They use macro data corresponding to quarterly S&P 500 index prices and dividends for January 1930-December 1990. The methodology used is the error correction model (ECM), which allows testing for long-term and short-term relations between the two variables. |
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