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Linear and Nonlinear Relationship between Stock Prices and Dividends: The Case of Taiwan - Couverture souple

Su, Chi-Wei

 
9783838315256: Linear and Nonlinear Relationship between Stock Prices and Dividends: The Case of Taiwan
Couverture souple
ISBN 10 : 3838315251 ISBN 13 : 9783838315256
Editeur : LAP LAMBERT Academic Publishing, 2009

Synopsis

This study investigates the relationship between stock prices and dividends in Taiwan stock market during the June 1991 to February 2005 period. We employ linear, nonlinear and panel techniques which provide a much stronger test to examine the relationship between stock prices and dividends. Our results suggest that there is a long-run nonlinear relationship between stock prices and dividends. We found that present value model is more suitable with time-varying expected returns provides an empirically valid description of Taiwan stock price behavior in the long-run, while short-run deviations of actual stock prices from present value prices are driven by rational bubbles. Compared to conventional cointegration approach this technique produces more convincing evidence of the time series properties of the dividend and price, the momentum threshold autoregressive (MTAR) method is flexible enough to capture non-linear adjustment patterns and support the existence of stock price increases relative to fundamentals in Taiwan stock market.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This study investigates the relationship between stock prices and dividends in Taiwan stock market during the June 1991 to February 2005 period. We employ linear, nonlinear and panel techniques which provide a much stronger test to examine the relationship between stock prices and dividends. Our results suggest that there is a long-run nonlinear relationship between stock prices and dividends. We found that present value model is more suitable with time-varying expected returns provides an empirically valid description of Taiwan stock price behavior in the long-run, while short-run deviations of actual stock prices from present value prices are driven by rational bubbles. Compared to conventional cointegration approach this technique produces more convincing evidence of the time series properties of the dividend and price, the momentum threshold autoregressive (MTAR) method is flexible enough to capture non-linear adjustment patterns and support the existence of stock price increases relative to fundamentals in Taiwan stock market.

Biographie de l'auteur

EXPERIENCE. Providence University, Assistant Professor of Finance, Aug.2006 ~ Present Taichung,Taiwan. Feng Chia University Part-time Assistant Professor, Aug.2006 ~ Present Taichung,Taiwan. Chiao Kwang University,Part-time Lecturer Taichung,Taiwan.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2009
Langue
anglais
ISBN 10 
3838315251
ISBN 13 
9783838315256
Reliure
Broché
Nombre de pages
88
Coordonnées du fabricant
non disponible
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