Abstract

This paper suggests that dividends do not reflect permanent earnings of corporations in periods of high inflation and deflation, and therefore the price-dividend relationship, as predicted by Gordon’s dividend-price model, breaks down. Using data for the US and the UK over the period from 1871 to 2002, nonlinear estimates support the prediction of the model.

Publication Type:	Monograph (Discussion Paper)
Additional Information:	© 2003 the authors
Publisher Keywords:	Regime-switching, nonlinearity, price-dividend relationship, inflation and deflation
Subjects:	H Social Sciences > HB Economic Theory
Departments:	School of Arts & Social Sciences > Economics > Discussion Paper Series
URI:	http://openaccess.city.ac.uk/id/eprint/1419

Preview

PDF Download (308kB) | Preview

Export

Downloads