The short and long-term interdependencies between stock prices and dividends: A panel vector error correction approach
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle & Grangers (1987) two-step procedure. The results show that there is a bi-directional long-term relationship between stock prices and dividends, i.e. an adjustment process is at work when a disequilibrium occurs. I also find a bi-directional short-term relationship. This paper also shows that Lintners model and the present value model are relevant frameworks in stock valuations.
Place, publisher, year, edition, pages
2015. , 14 p.
Present value model, Lintners model, PVECM, Stock price, dividends, FTSE, Cointegration, London stock exchange, panel vector error correction
utdelningar, aktiepris, aktie, London börsen
IdentifiersURN: urn:nbn:se:uu:diva-255666OAI: oai:DiVA.org:uu-255666DiVA: diva2:823085
Subject / course
Master Programme in Accounting, Auditing and Analysis