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Thursday, July 30, 2020 | History

6 edition of Aggregate dividend behavior and its implications for tests of stock market rationality found in the catalog.

Aggregate dividend behavior and its implications for tests of stock market rationality

by Terry A. Marsh

  • 316 Want to read
  • 3 Currently reading

Published by Massachusetts Institute of Technology in Cambridge, Mass .
Written in English

    Subjects:
  • Econometrics,
  • Efficient market theory

  • Edition Notes

    StatementTerry A. Marsh, Robert C. Merton.
    SeriesWorking paper / Alfred P. Sloan School of Management -- WP #1475-83, Working paper (Sloan School of Management) -- 1475-83.
    ContributionsMerton, Robert C., Sloan School of Management.
    The Physical Object
    Pagination82 p. :
    Number of Pages82
    ID Numbers
    Open LibraryOL13992134M
    OCLC/WorldCa15467627

    First, I test the ability of aggregate investment to predict aggregate stock market returns after controlling for variables suggested by prior literature to forecast future stock market returns. Several of these controls can be viewed as potential discount rate proxies. For example, the risk-free rate reflects short-term interest rates;. The following quiltcharts highlight historical sector-level dividend and stock price growth data (in addition to S&P data). These charts can be used to view market sector trends on an annual basis, even for the current year. The default quilt chart will show the dividend growth trends by sector.

    This study assesses the extent to which equity investors were fooled by pension accounting. First, we test whether stock prices reflected the fair market value of sponsoring firms ’ net pension assets reported in footnotes to the K or, instead, some capitalization rate on the pension cost accruals embedded in the income statement.   Having said that, dividends can affect stock prices and valuations in several ways. For example, if a company raises its dividend higher than the market .

      Market Response to Subsequent Dividend Actions of Dividend-Initiating and -Omitting Firms James N. Rimbey, Dennis T. Officer Quarterly Journal . These are all factors in favor of investing in stocks with low dividends. If a stock has a low dividend yield, this implies that the stock’s market price is considerably higher than the dividend payments a shareholder gets from owning the stock. This may indicate an overvalued stock or larger dividends .


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Aggregate dividend behavior and its implications for tests of stock market rationality by Terry A. Marsh Download PDF EPUB FB2

Dividends,Ross()andBhattacharya()useasignallingmodelapproach to formalize this a study offirms, Watts () provides some empiricalsupport forthe informationalcontent of dividendswhen he findsCited by: An illustration of an open book. Books. An illustration of two cells of a film strip.

Video An illustration of an audio speaker. Aggregate dividend behavior and its implications for tests of stock market rationality Item Preview remove-circlePages: Aggregate dividend behavior and its implications for tests of stock market rationality.

This paper tests the stock market rationality hypothesis, which implies that a stock price is determined. Working Paper | Aggregate Dividend Behavior and Its Implications for Tests of Stock Market Rationality. by Terry A. Marsh and Robert C.

MertonCited by: Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): (external link)Author: Terry A. Marsh and Robert C.

Merton. Shiller concludes that, at least over the last century, dividends simply do not vary enough to rationally justify observed aggregate price movements. Combining the results with Kleidon's 18 findings that stock price movements are strongly correlated with the following year's earnings changes suggests a clear pattern of overreaction.

Earnings variablility and variance bounds tests for the rationality of stock market prices aggregate. Standard. and Poor's term trends in stock prices. This model of managed dividends is. While the dividend history of a given stock plays a general role in its popularity, the declaration and payment of dividends also have a specific and predictable effect on market.

Part of the The New Palgrave book series (NPA) Abstract. A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices. Aggregate dividend behavior and its implications for tests of stock market rationality.

Working Paper, Sloan School of Management, September. Google. Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to "overreact" to unexpected and dramatic news events.

This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP monthly return data, is consistent with the overreaction hypothesis. Downloadable. This paper presents estimates indicating that, for aggregate U.S.

stock market dataa long historical average of real earnings is a good predictor of the present value of future real dividends. This is true even when the information contained in stock prices is taken into account.

We estimate that for each year the optimal forecast of the present value of future real. Abstract. This paper reports empirical tests for the existence of rational bubbles in stock prices. The analysis focuses on a familiar model that defines market fundamentals to be the expected present value of dividends, discounted at a constantrate, and defines a rational bubble to be a self-confirming divergence of stock prices from market fundamentals in response to extraneous variables.

If a stock has a low dividend payout ratio but it is generating high levels of free cash flow, it obviously has room to increase its dividend. Low capex and debt levels are also ideal. This paper presents estimates indicating that, for aggregate U.S.

stock market dataa long historical average of real earnings is a good predictor of the present value of future real dividends. This is true even when the information contained in stock prices is taken into account. We estimate that for each year the optimal forecast of the present value of future real dividends is.

A "run test" on successive stock price changes which supports the EMH would show the actual number of runs falls into the range expected of a random series A trading rule which signals purchase of a stock if it rises X percent and sale of a stock if it falls X percent is known as a.

Aggregate dividend behavior and its implications for tests of stock market rationality TA Marsh, RC Merton Cambridge, Mass.: Massachusetts Institute of Technology,   The Malaysian capital market is an important emerging Asian market. Stock market, which offers to sell, purchases or exchange of securities was the most active component of the capital market in Malaysia since the s (Butler, Dhillon, & Thiagarajah, ).In the modern context, the secondary exchange for stock market, i.e.

the Kuala Lumpur Stock Exchange (KLSE) 2 was. In this study, we use Brock's general equilibrium model of asset pricing to investigate the pronounced excess stock price volatility and its implications for market efficiency, in line with Kleidon.

Shiller [1] uses time series data to test the market efficiency and validity of the present-value model of Miller and Modigliani [29] and. This chapter explores the relationship between stock prices and the real economy.

The standard neoclassical approach – so called consumption-based asset pricing model – attempts to explain it. iShares Core S&P Total U.S. Stock Market ETF expense ratio: % iShares Select Dividend ETF expense ratio: % Look at the two funds above and you'll notice the dividend. One stock valuation model holds that the value of a share of stock is a function of its future dividends, and that the dividends will increase at an annual rate which will remain unchanged over time.

This stock valuation model is known as the A) approximate yield model. B) holding period return model. C) dividend reinvestment model.

The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies.

First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on market performance was discussed.,This study used around 6, quarterly observations on the.

The book-to-market ratio is a ratio used to determine the value of a company by comparing its book value to its market value. The market value of a company is derived from the value (price) of its stock in the market.

The book value is the accounting value of the company as stated in the balance sheet.