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Journal of Business & Economic Statistics Volume 39, 2021 - Issue 4
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Research Article

Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model

Davide Delle Monachea Bank of Italy, Rome, Italy
,
Ivan Petrellab University of Warwick, Coventry, UK;c CEPR, London, UKCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-8852-1868
ORCID Icon &
Fabrizio Vendittid European Central Bank, Frankfurt am Main, Germany
Pages 1054-1065 | Published online: 02 Jun 2020

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Santiago Carbó-Valverde, Pedro J. Cuadros-Solas & Francisco Rodríguez-Fernández. (2021) The effects of negative interest rates: a literature review and additional evidence on the performance of the European banking sector. The European Journal of Finance 27:18, pages 1908-1938.
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Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi & Fabrizio Lillo. (2021) A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics. Journal of Business & Economic Statistics 39:4, pages 920-936.
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Articles from other publishers (5)

Tingguo Zheng, Shiqi Ye & Yongmiao Hong. (2023) Fast estimation of a large TVP-VAR model with score-driven volatilities. Journal of Economic Dynamics and Control 157, pages 104762.
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David G. McMillan. (2023) Stock Return Predictability: Evidence from Price-Dividend Components. SSRN Electronic Journal.
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Ahmed Rashed & Waleed Ghoniem. (2022) The impact of cash holding on stock returns in small and medium enterprises on the Egyptian Nile Stock Exchange. Investment Management and Financial Innovations 19:3, pages 83-92.
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Alessi Lucia, Dominik Hirschbühl & Alessandro Rossi. (2022) A sustainability transition on the move? Evidence based on the disconnect from market fundamentals. SSRN Electronic Journal.
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Dennis Umlandt. (2020) Likelihood-Based Dynamic Asset Pricing: Learning Time-Varying Risk Premia from Cross-Sectional Models. SSRN Electronic Journal.
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