Shanghai Stock Prices as Determined by the Present Value Model

Gregory C. Chow
Additional contact information
Gregory C. Chow: Princeton University

Finance from EconWPA

Abstract: Derived from the present-value model of stock prices, our model implies that the log stock price is a linear function of expected log dividends and the expected rate of growth of dividends where expectations are formed adaptively. The model explains very well the prices of 47 stocks traded on the Shanghai Stock Exchange observed at the beginning of 1996, 1997, and 1998. The estimated parameters are remarkably similar to those reported for stocks traded on the Hong Kong Stock Exchange and the New York Stock Exchange.

Keywords: Finance (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-tra
Date: 2003-06-10
Note: Published in Journal of Comparative Economics 27, 553–561 (1999)
View list of references

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0306/0306003.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0306003

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().