The price-dividend relationship in inflationary and deflationary regimes

Madsen, J. B. & Milas, C. (2003). The price-dividend relationship in inflationary and deflationary regimes (Report No. 03/05). London, UK: Department of Economics, City University London.

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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.

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

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