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The short and long-term interdependencies between stock prices and dividends:  A panel vector error correction approach
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle & Grangers (1987) two-step procedure. The results show that there is a bi-directional long-term relationship between stock prices and dividends, i.e. an adjustment process is at work when a disequilibrium occurs. I also find a bi-directional short-term relationship. This paper also shows that Lintners model and the present value model are relevant frameworks in stock valuations.

Place, publisher, year, edition, pages
2015. , 14 p.
Keyword [en]
Present value model, Lintners model, PVECM, Stock price, dividends, FTSE, Cointegration, London stock exchange, panel vector error correction
Keyword [sv]
utdelningar, aktiepris, aktie, London börsen
National Category
URN: urn:nbn:se:uu:diva-255666OAI: diva2:823085
Subject / course
Business Studies
Educational program
Master Programme in Accounting, Auditing and Analysis
Available from: 2015-06-24 Created: 2015-06-17 Last updated: 2016-01-08Bibliographically approved

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