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- W2063516084 abstract "Tests for fractional integration in the S&P 500 log dividend yield are conducted in order to test the proposition that exogenous shocks have permanent effects. The presence of a unit root in the log dividend yield is consistent with ‘rational bubbles’ in stock prices. Our findings, based on tests for fractional integration, yield robust rejections of the null hypothesis of rational bubbles. The results strongly suggest that the log dividend yield is mean reverting." @default.
- W2063516084 created "2016-06-24" @default.
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- W2063516084 date "2005-10-01" @default.
- W2063516084 modified "2023-09-24" @default.
- W2063516084 title "Rational bubbles or persistent deviations from market fundamentals?" @default.
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- W2063516084 doi "https://doi.org/10.1016/j.jbankfin.2004.09.003" @default.
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