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首页> 外文期刊>The North American journal of economics and finance >Stock prices, dividends, and structural changes in the long-term: The case of U.S.
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Stock prices, dividends, and structural changes in the long-term: The case of U.S.

机译：长期股票价格，股息和结构变化：美国的案例

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摘要

According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the long-run. In this paper we consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical description of the Present Value model of U.S. stock prices. Our methodology is based on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed in Arai and Kurozumi (2007) and Kejriwal (2008). The results obtained are consistent with the existence of linear cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrating relationship has changed over time. In particular, the Kejriwal-Perron tests for testing multiple structural breaks in cointegrated regression models suggest a model of three regimes.
机译：根据若干经验研究，本值模型未能解释股票价格的行为。在本文中，我们考虑了具有多种结构变化的线性结合回归模型的可能性将提供优先级的美国股票价格的实证描述。我们的方法基于克里奇尔和珀罗（2008年，2010年）以及在Arai和Kurozumi（2007）和Kejriwal（2008）中开发的协整测试。获得的结果与日志股价与日志股息之间的线性协整的结果一致。然而，我们的经验结果也表明协整关系随着时间的推移而变化。特别是，在共同化回归模型中测试多种结构断裂的kejriwal-perron测试表明了三个制度的模型。

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