Empirical evidence on periodically collapsing stock price bubbles
Gunther Capelle-Blancard () and
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Gunther Capelle-Blancard: TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CADRE - Université de Lille, Droit et Santé
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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)
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Published in Applied Economics Letters, Taylor & Francis (Routledge): SSH Titles, 2004, 11 (1), pp.61-69. ⟨10.1080/1350485042000187480⟩
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Journal Article: Empirical evidence on periodically collapsing stock price bubbles (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00265671
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