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

David Gordon McMillan

doi:10.1016/j.econlet.2005.12.024

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

David Gordon McMillan

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	408-412
Number of pages	5
Journal	Economics Letters
Volume	91
DOIs	https://doi.org/10.1016/j.econlet.2005.12.024
Publication status	Published - Jun 2006

Keywords

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

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10.1016/j.econlet.2005.12.024

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title = "{\textquoteleft}The Price-Dividend Ratio and Limits to Arbitrage: Evidence from a Time-Varying ESTR Model{\textquoteright}",

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.",

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year = "2006",

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AB - 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.

KW - present value model

KW - ESTR model

KW - limits to arbitrage

KW - STOCK-PRICES

KW - BUBBLES

U2 - 10.1016/j.econlet.2005.12.024

DO - 10.1016/j.econlet.2005.12.024

M3 - Article

SN - 0165-1765

VL - 91

SP - 408

EP - 412

JO - Economics Letters

JF - Economics Letters

ER -

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

Abstract

Keywords

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