![Rational bubbles or persistent deviations from market fundamentals? [An article from: Journal of Banking and Finance]](https://www.ebooknetworking.net/books/B00/0RR/bigB000RR6MCG.jpg)
Rational bubbles or persistent deviations from market fundamentals? [An article from: Journal of Banking and Finance]
Book Details
Author(s)Z. Koustas, A. Serletis
PublisherElsevier
ISBN / ASINB000RR6MCG
ISBN-13978B000RR6MC4
AvailabilityAvailable for download now
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Tests for fractional integration in the S&P 500 log dividend yield are conducted in order to test the proposition that exogenous shocks have permanent effects. The presence of a unit root in the log dividend yield is consistent with 'rational bubbles' in stock prices. Our findings, based on tests for fractional integration, yield robust rejections of the null hypothesis of rational bubbles. The results strongly suggest that the log dividend yield is mean reverting.
Description:
Tests for fractional integration in the S&P 500 log dividend yield are conducted in order to test the proposition that exogenous shocks have permanent effects. The presence of a unit root in the log dividend yield is consistent with 'rational bubbles' in stock prices. Our findings, based on tests for fractional integration, yield robust rejections of the null hypothesis of rational bubbles. The results strongly suggest that the log dividend yield is mean reverting.
