Linear and Nonlinear Relationship between Stock Prices and Dividends
Chi-Wei Su
Broschiertes Buch

Linear and Nonlinear Relationship between Stock Prices and Dividends

The Case of Taiwan

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This study investigates the relationship between stock prices and dividends in Taiwan stock market during the June 1991 to February 2005 period. We employ linear, nonlinear and panel techniques which provide a much stronger test to examine the relationship between stock prices and dividends. Our results suggest that there is a long-run nonlinear relationship between stock prices and dividends. We found that present value model is more suitable with time-varying expected returns provides an empirically valid description of Taiwan stock price behavior in the long-run, while short-run deviations ...