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

By Ian W. Marsh and David Power

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%

Topics: HG
Publisher: Warwick Business School Financial Econometrics Research Centre
Year: 1999
OAI identifier: oai:wrap.warwick.ac.uk:1840

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