Empirical evidence on periodically collapsing stock price bubbles

Gunther Capelle-Blancard and Helene Raymond

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: According to the dividend discount model (DDM), a long run relationship should exist between stock prices and dividends. In this paper, in order to test the validity of the DDM on the French, German, Japanese, UK and US stock markets from 1973 to 2002, we implement cointegration tests corrected for skewness and excess kurtosis. As dividends distribution may be affected by stock repurchases strategies, we adjust the test by taking earnings into account. The results do not allow to reject the speculative bubble hypothesis.

Keywords: speculative bubbles; stock markets; cointegration; skewness; kurtosis (search for similar items in EconPapers)
Date: 2004-01
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Citations: View citations in EconPapers (8)

Published in Applied Economics Letters, 2004, 11 (1), pp.61-69. ⟨10.1080/1350485042000187480⟩

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Working Paper: Empirical evidence on periodically collapsing stock price bubbles (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00265671

DOI: 10.1080/1350485042000187480

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