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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)
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, ...