UK stock price effects of permanent and transitory shocks

被引：0

作者：

Vivian, Andrew ^{[1
]}

Wohar, Mark E. ^{[2
]}

机构：

[1] Loughborough Univ Technol, Sch Business, Loughborough LE11 3TU, Leics, England

[2] Univ Nebraska, Dept Econ, Omaha, NE 68182 USA

来源：

EUROPEAN JOURNAL OF FINANCE | 2010年 / 16卷 / 07期

关键词：

stock prices; permanent dividend shock; cointegrated VAR; INTERNATIONAL ANALYSIS; COINTEGRATION; DIVIDENDS; TEMPORARY; HYPOTHESIS; COMPONENTS; EARNINGS;

D O I：

10.1080/13518471003638682

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the dynamic relationship between stock prices and dividends using a structural cointegrated vector autoregression. The approach adopted fully identifies the system without imposing arbitrary restrictions and decomposes innovations into permanent and transitory components. Prior research indicates that transitory price shocks could lead to stock price predictability. Our key new empirical finding is that permanent dividend shocks could also lead to aggregate stock price predictability in the UK.

引用

页码：641 / 656

页数：16

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