The Dividend Pricing Model: New Evidence from the Korean Housing Market

Min Hwang, John Quigley and Jae Young Son

Berkeley Program on Housing and Urban Policy, Working Paper Series from Berkeley Program on Housing and Urban Policy

Abstract: It is generally conceded that dividend pricing models are poor predictors of asset prices. This finding is sometimes attributed to excess volatility or to a dividend process manipulated by firm managers. In this paper, we present rather powerful panel tests of the dividend pricing relation using a unique data set in which dividends are set by market forces independent of managers’ preferences. We rely on observations on the market for condominium dwellings in Korea – perhaps the only market in which information on dividends and prices is publicly and continuously available to consumers and investors. We extend the “dividend-price ratio model” to panels of housing returns and rents differentiated by type and location. We find broad support for the dividend pricing model during periods both before and after the Asian Financial Crisis of 1997–1998, suggesting that the market for housing assets in Korea has been remarkably efficient.

Keywords: Housing prices; Social and Behavioral Sciences (search for similar items in EconPapers)
Date: 2006-03-20
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Citations: View citations in EconPapers (35)

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Journal Article: The Dividend Pricing Model: New Evidence from the Korean Housing Market (2006)
Working Paper: The Dividend Pricing Model: New Evidence from the Korean Housing Market (2005)
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