haku: @author Lee, B.-S. / yhteensä: 5
viite: 4 / 5
| Tekijä: | Lee, B.-S. |
| Otsikko: | Comovements of earnings, dividends, and stock prices |
| Lehti: | Journal of Empirical Finance
1996 : DEC, VOL. 3:4, p. 327-346 |
| Asiasana: | FINANCE EARNINGS SHARE PRICES |
| Kieli: | eng |
| Tiivistelmä: | The authors investigate the comovements of the log of earnings, dividends, and stock prices by testing for the number of common stochastic trends among these series. The authors find that the three series are cointegrated with a single cointegrating vector. These findings collectively imply that: (1) there is an equilibrium force that tends to keep these series together over time, (2) changes in dividends are primarily influenced by changes in some measure of permanent earnings, and (3) a substantial fraction of stock price movement is driven by neither earnings changes nor dividend changes. |
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