‘The Price-Dividend Ratio and Limits to Arbitrage: Evidence from a Time-Varying ESTR Model’

David Gordon McMillan

    Research output: Contribution to journalArticlepeer-review

    4 Citations (Scopus)

    Abstract

    Recent share price dynamics has led to much debate within academic and practitioner circles. Researchers have typically argued that either a bubble component exists within prices, or that the price-dividend relationship exhibits persistence. This note shows that an empirical model designed to capture limits to arbitrage can explain the movement in prices over the recent past. (c) 2006 Elsevier B.V. All rights reserved.

    Original languageEnglish
    Pages (from-to)408-412
    Number of pages5
    JournalEconomics Letters
    Volume91
    DOIs
    Publication statusPublished - Jun 2006

    Keywords

    • present value model
    • ESTR model
    • limits to arbitrage
    • STOCK-PRICES
    • BUBBLES

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