The price-dividend relationship in inflationary and deflationary regimes

Jakob Madsen and Costas Milas

Working Papers from Department of Economics, City University London

Abstract: This paper suggests that dividends do not reflect permanent earnings of corporations in periods of high inflation and deflation, and therefore the price-dividend relationship, as predicted by Gordon’s dividend-price model, breaks down. Using data for the US and the UK over the period from 1871 to 2002, nonlinear estimates support the prediction of the model.

Keywords: Regime-switching; nonlinearity; price-dividend relationship; inflation and deflation (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://openaccess.city.ac.uk/id/eprint/1419/1/0305_madsen-milas.pdf

Related works:
Journal Article: The price-dividend relationship in inflationary and deflationary regimes (2005)
Working Paper: The price-dividend relationship in inflationary and deflationary regimes (2005)
Working Paper: THE PRICE-DIVIDEND RELATIONSHIP IN INFLATIONARY AND DEFLATIONARY REGIMES (2005)
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:cty:dpaper:03/05

Access Statistics for this paper

More papers in Working Papers from Department of Economics, City University London Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,. Contact information at EDIRC.
Bibliographic data for series maintained by Research Publications Librarian ().