Abstract
Using an exponential smooth transition threshold (ESTR) error-correction model, we examine whether return dynamics in a price dividend cointegration framework differ between large and small deviations. Results support the ESTR model over a linear alternative and suggest persistent deviations from equilibrium when deviations are large. (C) 2003 Published by Elsevier B.V.
Original language | English |
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Pages (from-to) | 149-154 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 84 |
Issue number | 2 |
DOIs | |
Publication status | Published - Aug 2004 |
Keywords
- stock market returns
- exponential smooth transition threshold model
- error-correction
- MOMENTUM STRATEGIES
- NOISE
- MODELS