TY - JOUR
T1 - Intrinsic bubbles revisited
T2 - Evidence from nonlinear cointegration and forecasting
AU - Ma, Yue
AU - Kanas, Angelos
PY - 2004/7
Y1 - 2004/7
N2 - This paper offers strong further empirical evidence to support the intrinsic bubble model of stock prices, developed by Froot and Obstfeld (American Economic Review, 1991), in two ways. First, our results suggest that there is a long-run nonlinear relationship between stock prices and dividends for the US stock market during the period 1871-1996. Second, we find that the out-of-sample forecasting performance of the intrinsic bubbles model is significantly better than the performance of two alternatives, namely the random walk and the rational bubbles model. Copyright © 2004 John Wiley & Sons, Ltd.
AB - This paper offers strong further empirical evidence to support the intrinsic bubble model of stock prices, developed by Froot and Obstfeld (American Economic Review, 1991), in two ways. First, our results suggest that there is a long-run nonlinear relationship between stock prices and dividends for the US stock market during the period 1871-1996. Second, we find that the out-of-sample forecasting performance of the intrinsic bubbles model is significantly better than the performance of two alternatives, namely the random walk and the rational bubbles model. Copyright © 2004 John Wiley & Sons, Ltd.
KW - Forecasting
KW - Intrinsic bubbles
KW - Kalman filter
KW - Nonlinear cointegration
KW - Random walk
UR - http://www.scopus.com/inward/record.url?scp=3242723841&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-3242723841&origin=recordpage
U2 - 10.1002/for.909
DO - 10.1002/for.909
M3 - RGC 21 - Publication in refereed journal
SN - 0277-6693
VL - 23
SP - 237
EP - 250
JO - Journal of Forecasting
JF - Journal of Forecasting
IS - 4
ER -