Tests of Rational Bubbles Using Cointegration Theory
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.
Finance and Financial Management | Management Sciences and Quantitative Methods
Applied Financial Economics
Taylor and Francis
LIM, Kian Guan and PHOON, Kok Fai.
Tests of Rational Bubbles Using Cointegration Theory. (1991). Applied Financial Economics. 1, (2), 85-87. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/1499