Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 刘民教授 (金融学系) |
| 周应峰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.2307/2676263 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/5WOS source URL
其它资讯
摘要It is now widely held that stock prices are too volatile to be optimal forecasts of future dividends discounted at a constant rate. Using the present value model with a constant discount rate, we show that when there is memory in the duration of dividend swings, the stock price can move in a more volatile fashion than could be warranted by future dividend movements. The memory in the duration of a dividend swing will lead economic agents to time the swing, thereby generating a spurious bias in the stock price. When memory is strong, this spurious bias becomes significant and induces excess volatility in the stock price as if rational bubbles exist. The Efficient Method of Moments (EMM) procedure is used to examine the long swings property in the dividend series. We cannot reject the hypothesis of a strong memory in the dividend swings, and show that excess volatility, even in large samples, can be generated through simulation.
着者Chow YF, Liu M
期刊名称Journal of Financial and Quantitative Analysis
出版年份1999
月份9
日期1
卷号34
期次3
出版社UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION
页次341 - 367
国际标準期刊号0022-1090
电子国际标準期刊号17http://aims.cuhk.edu.hk/converis/portal/Publication/56-6916
语言英式英语
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
