Journal of CENTRUM Cathedra. Vol. 04, Issue 01

URI permanente para esta colecciónhttp://54.81.141.168/handle/123456789/194730

Tabla de Contenido
JCC Volume 4 - Issue 1 - 2011
  • A Model to Improve the Estimation of Baseline Retail Sales Jetta, Kurt; Rengifo, Erick W; 1
  • Conjoint Analysis and MDS Approach to Brand Improvement of an Aerosol Product Charles, Vincent; Kumar, Mukesh; Anad, Tulika; 2
  • U.S. News Spillover Effects: Sectoral Evidence Nguyen, Anh Tho Thi; 3
  • Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J; 4
  • Case-Study of Internationalization in Peruvian SMEs Vásquez, Fernando; Doloriert, Clair H; 5
  • Earnings Management and Contests for Control: An Analysis of European Family Firms Jara, Mauricio; López-Iturriaga, Félix J; 6
  • Management in Emerging versus Developed Countries: A Comparative Study from an Indian Perspective Nigam, Roli; Zhang, Su; 7

    • Explorar

    Filtros

    20111

    Ajustes

    Autorsearch.filters.applied.operator.equals: search.filters.author.Delcoure, NatalyaTemasearch.filters.applied.operator.equals: search.filters.subject.Time-series data

    Resultados de Búsqueda

    Mostrando 1 - 1 de 1
    • Miniatura
      ÍtemAcceso Abierto
      Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model
      (Pontificia Universidad Católica del Perú. CENTRUM, 2011) Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J.
      This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard nonseasonal unit roots, we find evidence of periodic seasonal integration in these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the efficient market hypothesis.