Marsh, Ian W. and Power, David (1999) A panel-based investigation into the relationship between stock prices and dividends. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.8).

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Abstract

This paper investigates the presence of cointegration between stock prices and dividends for a panel of 56 large UK companies. Using new techniques which account for integrated processes in a panel context we demonstrate that stock prices and dividends are cointegrated, with an implied common discount rate of 5.8%.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Stocks -- Prices, Dividends, Business enterprises -- Great Britain
Series Name:	Working Papers Series
Publisher:	Warwick Business School Financial Econometrics Research Centre
Place of Publication:	University of Warwick
Official Date:	1999
Dates:	Date Event 1999 Published
Volume:	Vol.1999
Number:	No.8
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access (Creative Commons)

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