haku: @author Zhong, M. / yhteensä: 4
viite: 3 / 4
| Tekijä: | Zhong, M. Darrat, A. F. Anderson, D. C. |
| Otsikko: | Do US stock prices deviate from their fundamental values? Some new evidence |
| Lehti: | Journal of Banking and Finance
2003 : APR, VOL. 27:4, p. 673-697 |
| Asiasana: | Value analysis Share prices Time series |
| Kieli: | eng |
| Tiivistelmä: | The authors propose a new methodology to test Fama's (J. Finance 46(1991)1575) contention that the present value model should be augmented by time-varying expected inflation to more adequately account for actual stock price behaviour. The authors decompose the levels of stock prices into their fundamental elements in the context of a multivariate PVM cointegrating framework and utilize the Gonzalo and Graner (J. Bus. Econ. Stat. 13(1995)27) procedure to formally test for the statistical significance of the non-fundamental component continues to achieve significance. |
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