dc.contributor.author | Gutiérrez Huerta, María José | |
dc.contributor.author | Vázquez Pérez, Jesús | |
dc.date.accessioned | 2011-12-29T07:05:16Z | |
dc.date.available | 2011-12-29T07:05:16Z | |
dc.date.issued | 2002-07 | |
dc.identifier.issn | 1134-8984 | |
dc.identifier.uri | http://hdl.handle.net/10810/5823 | |
dc.description | Also published as DFAE-II Working Paper 2002-26 and as an article in: Journal of Economic Dynamics and Control, 2004, vol. 28, issue 11, pages 2297-2325 | |
dc.description.abstract | This paper analyzes the different dynamic features displayed by alternative RE equilibria and how these features change for small perturbations of the dividend process parameters. Using historical US data and structural estimation we test for the presence of feedback from stock prices to dividends. In addition, we empirically study whether the excess of volatility in stock prices is due to (i) regime-switching in the dividend process studied by Driffill and Sola (1998), (ii) switching equilibria suggested by Timmermann (1994) or (iii) a combination of these two possibilities. The empirical results provide evidence of a small but very significant presence of feedback from stock prices to dividends. Moreover, when analyzing different subsamples we find evidence of both regime-switching in the dividend process and switching equilibria. | es |
dc.description.sponsorship | Financial support from Ministerio de Educación and Gobierno Vasco (Spain) through projects PB97-0620 and HU-1998-133, respectively, is gratefully acknowledged. | es |
dc.language.iso | eng | es |
dc.relation | info:eu-repo/grantAgreement/MEC/PB97-0620 | |
dc.relation | info:eu-repo/grantAgreement/MEC/HU1998-133 | |
dc.relation.ispartofseries | Biltoki 2000.06 | |
dc.relation.ispartofseries | DFAEII 2002.26 | es |
dc.rights | info:eu-repo/semantics/openAccess | es |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/ | * |
dc.subject | multiple RE equilibria | es |
dc.subject | feedback and stock price volatility | es |
dc.title | Switching Equilibria: The Present Value Model for Stock Prices Revisited | es |
dc.type | info:eu-repo/semantics/workingPaper | es |
dc.rights.holder | Attribution-NonCommercial-ShareAlike 3.0 Unported | * |
dc.subject.jel | G12 | es |
dc.subject.jel | C62 | |
dc.identifier.repec | RePEc:ehu:biltok:200006 | es |
dc.departamentoes | Fundamentos del análisis económico II | es_ES |
dc.departamentoes | Economía aplicada III (Econometría y Estadística) | es_ES |
dc.departamentoeu | Ekonomia analisiaren oinarriak II | es_ES |
dc.departamentoeu | Ekonomia aplikatua III (ekonometria eta estatistika) | es_ES |
dc.subject.categoria | FINANCIAL ECONOMICS | |
dc.subject.categoria | MATHEMATICAL AND QUANTITATIVE METHODS | |