Engsted, Tom; Lund, Jesper - In: Applied Financial Economics 7 (1997) 6, pp. 659-665
Based on a cointegrated VAR model, a joint test of the within-country and crosscountry low-frequency implications of the present value model of stock prices is derived and applied to postwar annual stock market data from four European countries. Following Johansen (1995) and Johansen and...