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oaioai:wrap.warwick.ac.uk:1840

A panel-based investigation into the relationship between stock prices and dividends

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Publication date
1 January 1999
Publisher
Warwick Business School Financial Econometrics Research Centre

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%

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