Aggregate Dividend Behavior And Its Implications for Tests of Stock Market Ratio
Aggregate Dividend Behavior And Its Implications for Tests of Stock Market Ratio
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In our eReader you can find the full English version of the book. Read Aggregate Dividend Behavior And Its Implications for Tests of Stock Market Ratio Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book Aggregate Dividend Behavior And Its Implications for Tests of Stock Market Ratio
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While there are precious few hypotheses about stock market returns that can be empirically rejected, one that can is the hypothesis that the expected excess return on the market is 22 zero. It appears, therefore, that assumption S. A. 2 of the Shiller model is wholly inconsistent with assumption S. A. I of that model. While this inconsistency issue is pursued no further here, it remains an empirical puzzle as to why stock returns on average are so much higher than bond returns, if dividends can... be empirically described by a stationary process.
As the empirical basis for the stationarity assumption S. A. I in his various papers on the subject, Shiller relies almost exclusively on regression analyses to show that dividends follow an autoregressive process with a time trend.
In his most recent published evidence, Shiller (1983) reports that "If log D(t) is regressed on log D(t -1)), a constant and a linear time trend for 1872 to 1978, the coefficient of log D(t - 1) is 0. 807, with an estimated standard error of 0.
What to read after Aggregate Dividend Behavior And Its Implications for Tests of Stock Market Ratio?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
While there are precious few hypotheses about stock market returns that can be empirically rejected, one that can is the hypothesis that the expected excess return on the market is 22 zero. It appears, therefore, that assumption S. A. 2 of the Shiller model is wholly inconsistent with assumption S. A. I of that model. While this inconsistency issue is pursued no further here, it remains an empirical puzzle as to why stock returns on average are so much higher than bond returns, if dividends can... be empirically described by a stationary process.
As the empirical basis for the stationarity assumption S. A. I in his various papers on the subject, Shiller relies almost exclusively on regression analyses to show that dividends follow an autoregressive process with a time trend.
In his most recent published evidence, Shiller (1983) reports that "If log D(t) is regressed on log D(t -1)), a constant and a linear time trend for 1872 to 1978, the coefficient of log D(t - 1) is 0. 807, with an estimated standard error of 0.
What to read after Aggregate Dividend Behavior And Its Implications for Tests of Stock Market Ratio?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
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