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Article Dans Une Revue Applied Economics Letters Année : 2004

Empirical evidence on periodically collapsing stock price bubbles

Résumé

According to the dividend discount model (DDM), a long run relationship should exist between stock prices and dividends. In this paper, in order to test the validity of the DDM on the French, German, Japanese, UK and US stock markets from 1973 to 2002, we implement cointegration tests corrected for skewness and excess kurtosis. As dividends distribution may be affected by stock repurchases strategies, we adjust the test by taking earnings into account. The results do not allow to reject the speculative bubble hypothesis.
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Dates et versions

halshs-00265671 , version 1 (19-03-2008)

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Gunther Capelle-Blancard, Hélène Raymond-Feingold. Empirical evidence on periodically collapsing stock price bubbles. Applied Economics Letters, 2004, 11 (1), pp.61-69. ⟨10.1080/1350485042000187480⟩. ⟨halshs-00265671⟩

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