Madsen, J. B. and Milas, C. (2003). The price-dividend relationship in inflationary and deflationary regimes (03/05). London, UK: Department of Economics, City University London.
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) |
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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 |
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