Modelling Momentum Dynamics in the US Dividend-Price Ratio Analysis

Gilles Dufrénot () and Fredj Jawadi ()
Additional contact information
Gilles Dufrénot: Aix-Marseille School of Economics, 5-9 Bd Maurice Bourdet
Fredj Jawadi: University of Lille

Chapter Chapter 7 in Challenges of Global Economic and Social Transformations, 2026, pp 129-162 from Springer

Abstract: Abstract We model the momentum properties of the US stock market between 2000 and 2022, applying recent nonlinear time series developments. Our findings show that dividends, prices and excess returns can explain the persistence of the dividend-price ratio. However, extending this specification to consider the influence of behavioural variables of portfolio holders helps us to better reproduce and model this persistence and momentum effects. Overall, while this finding improves the forecasting of long cycles and tests the hypothesis of mean reversion in US stock prices, our conclusion does not apply to the rapid activation of arbitrage opportunities or the market semi-strong efficiency hypothesis.

Keywords: Quantile copula spectrum; Quantile coherency; Stock market; Commodity market; COVID-19; Global financial crisis (search for similar items in EconPapers)
Date: 2026
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-06022-8_7

Ordering information: This item can be ordered from
http://www.springer.com/9783032060228

DOI: 10.1007/978-3-032-06022-8_7

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().