MacDonald, R. and Power, D. (1995) Stock prices, dividends and retention: long-run relationships and short-run dynamics. Journal of Empirical Finance, 2(2), pp. 135-151. (doi: 10.1016/0927-5398(94)00014-8)
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Abstract
In this paper we present a modified version of the present value stock price model in which stock prices are explained by dividends and a retention term. It is argued that the retention term may have important information for stock prices over-and-above that contained in dividends. The model is tested using a well-known US data base and recently developed time series techniques. We demonstrate, inter alia, that a unique cointegrating relationship exists amongst stock prices, dividends and the retention term, and we establish a dynamic error correction model which has a number of appealing features.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | MacDonald, Professor Ronald |
| Authors: | MacDonald, R., and Power, D. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Journal of Empirical Finance |
| Publisher: | Elsevier |
| ISSN: | 0927-5398 |
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