Shanghai Stock Prices as Determined by the Present Value Model

Gregory C. Chow
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Gregory C. Chow: Princeton University

Finance from University Library of Munich, Germany

Abstract: Derived from the present-value model of stock prices, our model implies that the log stock price is a linear function of expected log dividends and the expected rate of growth of dividends where expectations are formed adaptively. The model explains very well the prices of 47 stocks traded on the Shanghai Stock Exchange observed at the beginning of 1996, 1997, and 1998. The estimated parameters are remarkably similar to those reported for stocks traded on the Hong Kong Stock Exchange and the New York Stock Exchange.

Keywords: Finance (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 2003-06-10
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-tra
Note: Published in Journal of Comparative Economics 27, 553–561 (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0306003

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