The price-dividend relationship in inflationary and deflationary regimes

This paper suggests that dividends do not reflect permanent earnings of corporations in periods of high inflation and deflation, and therefore the price-dividend relationship, as predicted by Gordon’s dividend-price model, breaks down. Using data for the US and the UK over the period from 1871 to 2002, nonlinear estimates support the prediction of the model.

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Year of publication:	2003
Authors:	Madsen, J. B. ; Milas, C.
Institutions:	Department of Economics, City University
Subject:	Regime-switching \| nonlinearity \| price-dividend relationship \| inflation and deflation

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011268960