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    Studio 100: A growth story of a showcase in show business

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    Author
    Verweire, Kurt
    Publication Year
    2014
    Publication Number of pages
    19
    
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    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.
    Keyword
    Strategy
    Knowledge Domain/Industry
    Strategy
    URI
    http://hdl.handle.net/20.500.12127/4826
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