UK stock price effects of permanent and transitory shocks

Andrew Vivian and Mark Wohar ()

The European Journal of Finance, 2010, vol. 16, issue 7, 641-656

Abstract: This paper examines the dynamic relationship between stock prices and dividends using a structural cointegrated vector autoregression. The approach adopted fully identifies the system without imposing arbitrary restrictions and decomposes innovations into permanent and transitory components. Prior research indicates that transitory price shocks could lead to stock price predictability. Our key new empirical finding is that permanent dividend shocks could also lead to aggregate stock price predictability in the UK.

Keywords: stock prices; permanent dividend shock; cointegrated VAR (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13518471003638682 (text/html)
Access to full text is restricted to subscribers.

Related works:
Journal Article: Stock Price Effects of Permanent and Transitory Shocks (1998)
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:taf:eurjfi:v:16:y:2010:i:7:p:641-656

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/13518471003638682

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().