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• W2024209085 abstract "Abstract We analyse the time series properties of the S&P500 dividend–price ratio in the light of long-memory, structural breaks and rational bubbles. We find an increase in the long-memory parameter in the early 1990s by applying a test recently proposed by Sibbertsen and Kruse [J. Time Series Anal., 2009, 30, 263–285]. An application of the unit root test against long memory of Demetrescu et al. [Econometr. Theory, 2008, 24, 176–215] suggests that the pre-break data can be characterized by long memory, while the post-break sample contains a unit root. These results reconcile two empirical findings that are seen as contradictory: on the one hand, they confirm the existence of fractional integration in the S&P500 log-dividend–price ratio and, on the other, they are consistent with the existence of a rational bubble. The result of a changing memory parameter in the dividend–price ratio has an important implication for the literature on return predictability: the shift from a stationary dividend–price ratio to a unit root process in 1991 is likely to have caused the well-documented failure of conventional return prediction models since the 1990s. Keywords: Rational bubblesDividend–price ratioFractional integrationChanging persistence JEL Classification : C1C2C12C22G1G12 Acknowledgements We would like to thank three anonymous referees for their helpful comments and suggestions which improved the quality of the paper significantly. We are indebted to Jörg Breitung, Tom Engsted, Andreas Schrimpf and Philipp Sibbertsen for their valuable comments and suggestions. Robinson Kruse gratefully acknowledges financial support from CREATES funded by the Danish National Research Foundation. Notes †If they are not aware of this fact, the bubble is irrational (see O'Hara Citation2008 for a brief discussion on rationality). †Unreported simulation results for T = 1500, three different settings for GARCH parameters and six different values for d 0 confirm this claim. Full results are available upon request from the authors. See also Heinen et al. (Citation2009) for further results. ‡http://www.econ.yale.edu/shiller/data.htm †These results are not reported but are available from the authors upon request. ‡All other results are available from the authors upon request. †‘The extraordinary valuation ratios in the late 1990s represent a significant challenge for the benchmark model. Given the historical record of returns, fundamentals, and prices, it is exceedingly unlikely that persistent stationary shocks to expected returns are capable of explaining price multiples like those seen in 1999 or 2000.’ (Lettau and Van Nieuwerburgh Citation2008, p. 1608). †The application of the KPSS test (Kwiatkowski et al. Citation1992) with both types of deterministic terms and different kernels for spectrum estimation at frequency zero provides strong evidence for non-stationarity as well. Full results are available from the authors upon request. †We thank an anonymous referee for the suggestion to also consider another valuation ratio. ‡Full results are available from the authors upon request." @default.
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• W2024209085 date "2012-11-01" @default.
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• W2024209085 title "Testing for a rational bubble under long memory" @default.
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• W2024209085 doi "https://doi.org/10.1080/14697688.2011.578151" @default.
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