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Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: The price-dividend ratio and limits to arbitrage: Evidence from a time-varying ESTR model
Author(s): McMillan, David
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Keywords: Present value model
ESTR model
limits to arbitrage
Issue Date: Jun-2006
Date Deposited: 27-Feb-2017
Citation: McMillan D (2006) The price-dividend ratio and limits to arbitrage: Evidence from a time-varying ESTR model. Economics Letters, 91 (3), pp. 408-412.
Abstract: Recent share price dynamics has led to much debate within academic and practitioner circles. Researchers have typically argued that either a bubble component exists within prices, or that the price–dividend relationship exhibits persistence. This note shows that an empirical model designed to capture limits to arbitrage can explain the movement in prices over the recent past.
DOI Link: 10.1016/j.econlet.2005.12.024
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