Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - Asociación Española de Economía y Finanzas … - 2013
According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the … changes would provide a better empirical description of the Present Value model of U.S. stock prices. Our methodology is based … cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing …