Empirical assessment of present value relations
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Econometric Reviews
- Vol. 5 (2), 171-234
- https://doi.org/10.1080/07474938608800109
Abstract
This paper summarizes the literature on estimation and testing of present value relations. Twenty-four test statistics are illustrated and compared in a simulation experiment utilizing six different data generation models. The test statistics are calculated for actual Standard and Poor's 500 annual stock price and dividend data, and the results are interpreted in light of the Monte Carlo experiments.Keywords
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This publication has 5 references indexed in Scilit:
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