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AN IMPULSE RESPONSE FUNCTIONS AND VARIANCE DECOMPOSITIONS ANALYSIS OF INTERNATIONAL EQUITIES
Dimitrios Tsoukalas People&Global Business Association 2001 Global Business and Finance Review Vol.6 No.1
We investigate the components of equity returns across three major national stock markets using explanatory variables, dividend-price ratios and dividend growth rates. The analysis employs the structural Vector Autoregressive Approach (SVAR) to a data set for the period of January 1955 to December 1999. In general, we conclude that dynamic stock return behavior is accounted for primarily by innovations in dividend-price ratios. In all markets stock returns are characterized by the same temporary mean reverting components. These findings, however, cannot be viewed as evidence against market efficiency. We consider the "information" hypothesis of dividends to justify the temporary mean reverting components of stock returns.
LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION
Tsoukalas Dimitrios People&Global Business Association 2004 Global Business and Finance Review Vol.9 No.2
The analysis of this study is twofold: 1) Using A non-linear test (the Hinich test), it provides evidence of non-linear dynamics in stock prices in the American market from January 1955 to December 2002. 2) Utilizing non-linear regression models, the Multiple Adaptive Regression Splines (MARS) and Ⅱ-Splines, the study examines the relationship between stock prices and their fundamentals. Non-linear results are compared with linear. The predictive ability of the non-linear models outperforms the linear. As a result, the study suggests that non-linear models should be considered for the analysis of stock prices.