Time-series properties of the dividend–price ratio with social dynamics

References

• Alvarez , F and Jermann , UJ . 2005 . Using asset prices to measure the persistence of the marginal utility of wealth . Econometrica , 73 : 1977 – 2016 .
   Web of Science ®Google Scholar
• Ang , A and Liu , J . 2007 . Risk, return, and dividends . Journal of Financial Economics , 85 : l – 38 .
   Google Scholar
• Baker , M and Wurgler , J . 2007 . Investor sentiment in the stock market . Journal of Economic Perspectives , 21 : 129 – 51 .
   Web of Science ®Google Scholar
• Bansal , R and Yaron , A . 2004 . Risks for the long run: a potential resolution of asset pricing puzzles . Journal of Finance , 59 : 1481 – 509 .
   Web of Science ®Google Scholar
• Brown , JR , Ivkovic , Z , Smith , PA and Weisbenner , S . 2008 . Neighbors matter: causal community effects and stock market participation . Journal of Finance , 63 : 1509 – 31 .
   Web of Science ®Google Scholar
• Campbell , JY and Cochrane , JH . 1999 . By force of habit: a consumption-based explanation of aggregate stock market behavior . Journal of Political Economy , 107 : 205 – 51 .
   Web of Science ®Google Scholar
• Campbell , JY and Shiller , RJ . 1987 . Cointegration and tests of present value models . Journal of Political Economy , 95 : 1062 – 88 .
   Web of Science ®Google Scholar
• Campbell , JY and Shiller , RJ . 1989 . The dividend–price ratio and expectations of future dividends and discount factors . Review of Financial Studies , l : 195 – 228 .
   Google Scholar
• Cecchetti , SG , Lam , P-S and Mark , NC . 1990 . Mean reversion in equilibrium asset prices . American Economic Review , 80 : 398 – 418 .
   Web of Science ®Google Scholar
• Cecchetti , SG , Lam , P-S and Mark , NC . 2000 . Asset pricing with distorted beliefs: are equity returns too good to be true? . American Economic Review , 90 : 787 – 805 .
   Web of Science ®Google Scholar
• Chan , YL and Kogan , L . 2002 . Catching up with the Joneses: heterogeneous preferences and the dynamics of asset prices . Journal of Political Economy , 110 : 1255 – 85 .
   Web of Science ®Google Scholar
• Chen , A-S and Zhang , T-W . 2007 . Autocorrelation, structural breaks and the predictive ability of dividend yield . Applied Economics , 39 : 645 – 52 .
   Web of Science ®Google Scholar
• Cochrane , JH . 2001 . Asset Pricing , Princeton : Princeton University Press .
   Google Scholar
• Cochrane , JH . 2008 . The dog that did not bark: a defense of return predictability . Review of Financial Studies , 21 : 1533 – 75 .
   Web of Science ®Google Scholar
• Collard , F , Féve , P and Ghattassi , I . 2006 . Predictability and habit persistence . Journal of Economic Dynamics and Control , 30 : 2217 – 60 .
   Google Scholar
• Constantinides , GM and Duffie , D . 1996 . Asset pricing with heterogeneous consumers . Journal of Political Economy , 104 : 219 – 40 .
   Web of Science ®Google Scholar
• Esteve , V and Prats , MA . 2010 . Threshold cointegration and nonlinear adjustment between stock prices and dividends . Applied Economics Letters , 17 : 405 – 10 .
   Web of Science ®Google Scholar
• Fama , EF and French , KR . 1988 . Dividend yields and expected stock returns . Journal of Financial Economics , 22 : 3 – 27 .
   Web of Science ®Google Scholar
• Favero , CA , Gozluklu , AE and Tamoni , A . 2010 . Demographic trends, the dividend–price ratio and the predictability of long-run stock market returns . Journal of Financial and Quantitative Analysis , forthcoming
   Google Scholar
• Goyal , A and Welch , I . 2003 . Predicting the equity premium with dividend ratios . Management Science , 49 : 639 – 54 .
   Web of Science ®Google Scholar
• Grinblatt , M , Keloharju , M and Ikaheimo , S . 2008 . Social influence and consumption: evidence from the automobile purchases of neighbors . Review of Economics and Statistics , 90 : 735 – 53 .
   Web of Science ®Google Scholar
• Hamilton , JD . 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 : 357 – 84 .
   Web of Science ®Google Scholar
• Han , H-L . 1996 . Cointegration and tests of a present value model in the stock market . Applied Economics , 28 : 267 – 72 .
   Web of Science ®Google Scholar
• Haug , AA and Basher , SA . 2011 . Linear or nonlinear cointegration in the purchasing power parity relationship? . Applied Economics , 43 : 185 – 96 .
   Web of Science ®Google Scholar
• Hong , H , Kubik , JD and Stein , JC . 2004 . Social interaction and stock-market participation . Journal of Finance , 59 : 137 – 63 .
   Web of Science ®Google Scholar
• Hule , R and Lawrenz , J . 2011 . “ Return predictability and social dynamics, Review of Managerial Science, forthcoming ” .
   Google Scholar
• Jackson , MO . 2008 . Social and Economic Networks , Princeton : Princeton University Press .
   Google Scholar
• Kaustia , M and Knüpfer , S . 2010 . Peer performance and stock market entry Working Paper, London Business School
   Google Scholar
• Koijen , RS and van Nieuwerburgh , S . 2009 . “ Financial economics, return predictability and market efficiency ” . In Encyclopedia of Complexity and Systems Science , Edited by: Meyers , RA . 3448 – 56 . Berlin : Springer .
   Google Scholar
• Lettau , M and Ludvigson , S . 2001 . Consumption, aggregate wealth, and expected stock returns . Journal of Finance , 56 : 815 – 49 .
   Web of Science ®Google Scholar
• Lettau , M and Ludvigson , S . 2010 . Measuring and modeling variation in the risk-return trade-off in Handbook of Financial Econometrics, Vol. 1 (Eds) Y. Ait-Sahalia and L. P. Hansen, Elsevier, Amsterdam, pp. 617–90
   Google Scholar
• Lettau , M and van Nieuwerburgh , S . 2008 . Reconciling the return predictability evidence . Review of Financial Studies , 21 : 1607 – 52 .
   Web of Science ®Google Scholar
• Lewellen , J . 2004 . Predicting returns with financial ratios . Journal of Financial Economics , 74 : 209 – 35 .
   Web of Science ®Google Scholar
• Lucas , REJ . 1978 . Asset prices in an exchange economy . Econometrica , 46 : 1429 – 45 .
   Web of Science ®Google Scholar
• J. G. MacKinnon, Haug, A. A. and Michelis, L. (1999) Numerical distribution functions of likelihood ratio tests for cointegration, Journal of Applied Econometrics, 14, 563–77
   Google Scholar
• Masih , AMM and Masih , R . 2004 . Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float . Applied Economics , 36 : 593 – 605 .
   Web of Science ®Google Scholar
• Masih , R , Masih , AMM and Mic , K . 2010 . Model uncertainty and asset return predictability: an application of Bayesian model averaging . Applied Economics , 42 : 1963 – 72 .
   Web of Science ®Google Scholar
• Mehra , R and Prescott , EC . 2003 . The equity premium in retrospect in Handbook of the Economics of Finance: Financial Markets and Asset Pricing, Vol. 1B (Eds) G. M. Constan-tinides, M. Harris and R. M. Stulz, North-Holland, Amsterdam, pp. 889–938
   Google Scholar
• Rozeff , MS . 1984 . Dividend yields are equity risk premia . Journal of Portfolio Management , 11 : 68 – 75 .
   Web of Science ®Google Scholar
• Shiller , RJ . 1984 . Stock prices and social dynamics . Brookings Papers on Economic Activity , 2 : 457 – 98 .
   Google Scholar
• Taylor , MP . 1988 . An empirical examination of long-run purchasing power parity using cointegration techniques . Applied Economics , 20 : 1369 – 81 .
   Web of Science ®Google Scholar
• Timmermann , A . 1995 . Cointegration tests of present value models with a time-varying discount factor . Journal of Applied Econometrics , 10 : 17 – 31 .
   Web of Science ®Google Scholar