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dc.contributor.authorLondoño Yarce, Juan Miguel
dc.contributor.authorRegúlez Castillo, Marta
dc.contributor.authorVázquez Pérez, Jesús
dc.date.accessioned2015-01-19T13:03:19Z
dc.date.available2015-01-19T13:03:19Z
dc.date.issued2014-12
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/14095
dc.description.abstractAs a necessary condition for the validity of the present value model, the price-dividend ratio must be stationary. However, significant market episodes seem to provide evidence of prices significantly drifting apart from dividends while other episodes show prices anchoring back to dividends. This paper investigates the stationarity of this ratio in the context of a Markov- switching model à la Hamilton (1989) where an asymmetric speed of adjustment towards a unique attractor is introduced. A three-regime model displays the best regime identification and reveals that the first part of the 90’s boom (1985-1995) and the post-war period are characterized by a stationary state featuring a slow reverting process to a relatively high attractor. Interestingly, the latter part of the 90’s boom (1996-2000), characterized by a growing price-dividend ratio, is entirely attributed to a stationary regime featuring a highly reverting process to the attractor. Finally, the post-Lehman Brothers episode of the subprime crisis can be classified into a temporary nonstationary regime.es
dc.description.sponsorshipMinisterio de Ciencia e Innovación (Spain), projects SEJ2004-04811/ECON, SEJ2007-66592-C03-01/ECON, ECO2010/16970.es
dc.language.isoenges
dc.relationinfo:eu-repo/grantAgreement/MICINN/SEJ2004-04811-ECON
dc.relationinfo:eu-repo/grantAgreement/MICINN/SEJ2007-66592-C03-01/ECON
dc.relationinfo:eu-repo/grantAgreement/MICINN/ECO2010/16970
dc.relation.ispartofseriesDFAEII;2014.05
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.subjectMarkov regime-switchinges
dc.subjectprice-dividend ratio stationarityes
dc.titleAn Alternative View of the US Price-Dividend Ratio Dynamicses
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.subject.jelC32es
dc.subject.jelG12es
dc.identifier.repecRePEc:ehu:dfaeii:14095es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaFINANCIAL ECONOMICS
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE
dc.subject.categoriaMATHEMATICAL AND QUANTITATIVE METHODS


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