This study investigates changes in the persistence of the S&P Composite dividend-price ratio. Recently developed tests are employed that allow for breaks between periods in which the data are integrated of order zero, I(0), and integrated of order one, I(1). One of the tests finds a break from...

Recently developed methodology to allow the possibility of a stochastic unit root process as an alternative to a fixed parameter unit root model is applied to six national indices of stock market prices. Evidence supporting the stochastic unit root hypothesis is found. However, the...