117
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Autocorrelation, structural breaks and the predictive ability of dividend yield

&
Pages 645-652 | Published online: 30 Oct 2009

References

  • Bai , J and Perron , P . 1998 . Estimating and testing linear models with multiple structure changes . Econometrica , 66 : 47 – 78 .
  • Bai , J and Perron , P . 2003 . Computation and analysis of multiple structure change models . Journal of Applied Econometrics , 18 : 1 – 22 .
  • Blanchard , O and Watson , M . 1982 . “ Bubbles, rational expectations, and financial markets ” . In Crises in the Economic and Financial Structure , Edited by: Watchel , P . 295 – 315 . Lexington, MA : Lexington Books .
  • Cook , S . 2005 . Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation . Applied Economics , 37 : 607 – 17 .
  • Diba , B and Grossman , H . 1988 . Explosive rational bubbles in stock prices? . American Economic Review , 78 : 520 – 30 .
  • Fama , E and French , K . 1988 . Dividend yields and expected stock returns . Journal of Financial Economics , 22 : 3 – 25 .
  • Flood , R and Hodrick , R . 1986 . Asset price volatility, bubbles, and process switching . Journal of Finance , 41 : 831 – 42 .
  • Flood , R and Hodrick , R . 1990 . On testing for speculative bubbles . Journal of Economic Perspectives , 4 : 85 – 101 .
  • Hamilton , J and Whiteman , C . 1985 . The observable implications of self-fulfilling expectations . Journal of Monetary Economics , 16 : 353 – 73 .
  • Lewellen , J . 2004 . Predicting returns with financial ratios . Journal of Financial Economics , 74 : 209 – 35 .
  • Loewenstein , M and Willard , G . 2000 . Rational equilibrium asset-pricing bubbles in continuous trading models . Journal of Economic Theory , 91 : 17 – 58 .
  • Mankiw , NG and Shapiro , M . 1986 . Do we reject too often? Small sample properties of tests of rational expectations modes . Economics Letter , 20 : 139 – 45 .
  • Menzly , L , Santos , T and Veronesi , P . 2004 . Understanding predictability . Journal of Political Economy , 112 : 1 – 47 .
  • Narayan , PK . 2005 . The structure of tourist expenditure in Fiji: evidence from unit root structural break tests . Applied Economics , 37 : 1157 – 67 .
  • Neely , CJ and Weller , P . 2000 . Predictability in international asset returns: a reexamination . Journal of Financial and Quantitative Analysis , 35 : 601 – 19 .
  • Nelson , CR and Kim , MJ . 1993 . Predictable stock returns: the role of small sample bias . Journal of Finance , 48 : 641 – 61 .
  • Paye , BS and Timmermann , A . 2003 . How stable are financial prediction models? evidence from US and international stock market data, Manuscript , San Diego : University of California .
  • Pesaran , MH and Timmermann , A . 2002 . Market timing and return prediction under model instability . Journal of Empirical Finance , 9 : 495 – 510 .
  • Pettenuzzo , D and Timmermann , A . 2004 . Optimal asset allocation under structural breaks, Manuscript , San Diego : University of California .
  • Rapach , DE and Wohar , ME . 2005 . Structural breaks and predictive regression models of aggregate US stock returns, Manuscript , Saint Louis University .
  • Sen , A . 2004 . Are US macroeconomic series difference stationary or trend-break stationary? . Applied Economics , 36 : 2025 – 9 .
  • Sögner , L and Stiassny , A . 2002 . An analysis on the structural stability of Okun's law—a cross-country study . Applied Economics , 34 : 1175 – 87 .
  • Stambaugh , R . 1986 . Bias in regressions with lagged stochastic regressors, Unpublished Manuscript , Chicago, IL : University of Chicago .
  • Stambaugh , R . 1999 . Predictive regressions . Journal of Financial Economics , 54 : 375 – 421 .
  • Tirole , J . 1982 . On the possibility of speculation under rational expectations . Econometrica , 50 : 1163 – 81 .
  • Tirole , J . 1985 . Asset bubbles and overlapping generations . Econometrica , 53 : 1071 – 100 .
  • Viceira , LM . 1997 . Testing for structural change in the predictability of asset returns, Manuscript , Harvard University .
  • West , K . 1988 . Bubbles, fads, and stock price volatility tests: a partial evaluation . Journal of Finance , 43 : 639 – 56 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.