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Social and Behavioral Sciences Commons™
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Full-Text Articles in Social and Behavioral Sciences
The Dividend-Price Ratio And Expectations Of Future Dividends And Discount Factors, John Y. Campbell, Robert J. Shiller
The Dividend-Price Ratio And Expectations Of Future Dividends And Discount Factors, John Y. Campbell, Robert J. Shiller
Cowles Foundation Discussion Papers
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector autoregressive methods. Three versions of the linearized model, differing in the measure of discount rates, are tested for United States time series 1981-1986: versions using real interest rate data. The results yield a metric to judge the relative importance of real dividend growth, measured real discount rates and unexplained factors in determining the dividend-price ratio.
Weak Convergence To The Matrix Stochastic Integral Bdb, Peter C.B. Phillips
Weak Convergence To The Matrix Stochastic Integral Bdb, Peter C.B. Phillips
Cowles Foundation Discussion Papers
The asymptotic theory of regression with integrated processes of the ARIMA type frequently involves weak convergence to stochastic integrals of the form ∫ 0 1 WdW , where W ( r ) is standard Brownian motion. In multiple regressions and vector autoregressions with vector ARIMA processes the theory involves weak convergence to matrix stochastic integrals of the form ∫ 0 1 BdB ’, where B ( r ) is vector Brownian motion with non scalar covariance matrix. This paper studies the weak convergence of sample covariance matrices to ∫ 0 1 BdB ’ under quite general conditions. The theory is …