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Periodically collapsing stock price bubbles : a robust test
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Taylor, Mark P. and Peel, David A. (1998) Periodically collapsing stock price bubbles : a robust test. Economics Letters, 61 (2). pp. 221-228. doi:10.1016/S0165-1765(98)00171-2 ISSN 0165-1765.
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Official URL: http://dx.doi.org/10.1016/S0165-1765(98)00171-2
Abstract
Rational bubbles imply non-cointegration of stock prices and dividends, but standard tests are subject to size distortion. We present a new test with much smaller size distortion and good power characteristics, which rejects the bubbles hypothesis on US data.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Economics Letters | ||||
Publisher: | Elsevier | ||||
ISSN: | 0165-1765 | ||||
Official Date: | 1998 | ||||
Dates: |
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Volume: | 61 | ||||
Number: | 2 | ||||
Page Range: | pp. 221-228 | ||||
DOI: | 10.1016/S0165-1765(98)00171-2 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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