Title

Tests of Rational Bubbles Using Cointegration Theory

Publication Type

Journal Article

Publication Date

1991

Abstract

This paper provides results of tests of cointegration of stock price and stock dividend payments. Taking into account the problems of nuisance parameters and size distortion in the test statistics used in these tests, we find evidence that stock price and stock dividends are not cointegrated. More specifically, we have not ruled out the presence of rational bubbles.

Discipline

Finance and Financial Management | Management Sciences and Quantitative Methods

Research Areas

Finance

Publication

Applied Financial Economics

Volume

1

Issue

2

First Page

85

Last Page

87

ISSN

0960-3107

Identifier

10.1080/759368491

Publisher

Taylor and Francis

Additional URL

http://dx.doi.org/10.1080/759368491