Tests of Rational Bubbles Using Cointegration Theory
This paper provides results of tests of cointegration of stock price and stock dividend payments. Taking into account the problems of nuisance parameters and size distortion in the test statistics used in these tests, we find evidence that stock price and stock dividends are not cointegrated. More s...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1991
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1499 https://doi.org/10.1080/759368491 |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | This paper provides results of tests of cointegration of stock price and stock dividend payments. Taking into account the problems of nuisance parameters and size distortion in the test statistics used in these tests, we find evidence that stock price and stock dividends are not cointegrated. More specifically, we have not ruled out the presence of rational bubbles. |
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