WORKING PAPERS SERIES
WP99-08
A Panel-Based Investigation into the
Relationship Between Stock Prices and
Dividends
!
A Panel-Based Investigation Into the Relationship Between Stock
Prices and Dividends
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Abstract
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References
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List of other working papers:
1999
1. Yin-Wong Cheung, Menzie Chinn and Ian Marsh, How do UK-Based Foreign Exchange
Dealers Think Their Market Operates?, WP99-21
2. Soosung Hwang, John Knight and Stephen Satchell, Forecasting Volatility using LINEX Loss
Functions, WP99-20
3. Soosung Hwang and Steve Satchell, Improved Testing for the Efficiency of Asset Pricing
Theories in Linear Factor Models, WP99-19
4. Soosung Hwang and Stephen Satchell, The Disappearance of Style in the US Equity Market,
WP99-18
5. Soosung Hwang and Stephen Satchell, Modelling Emerging Market Risk Premia Using Higher
Moments, WP99-17
6. Soosung Hwang and Stephen Satchell, Market Risk and the Concept of Fundamental
Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets, WP99-16
7. Soosung Hwang, The Effects of Systematic Sampling and Temporal Aggregation on Discrete
Time Long Memory Processes and their Finite Sample Properties, WP99-15
8. Ronald MacDonald and Ian Marsh, Currency Spillovers and Tri-Polarity: a Simultaneous
Model of the US Dollar, German Mark and Japanese Yen, WP99-14
9. Robert Hillman, Forecasting Inflation with a Non-linear Output Gap Model, WP99-13
10.Robert Hillman and Mark Salmon , From Market Micro-structure to Macro Fundamentals: is
there Predictability in the Dollar-Deutsche Mark Exchange Rate?, WP99-12
11.Renzo Avesani, Giampiero Gallo and Mark Salmon, On the Evolution of Credibility and
Flexible Exchange Rate Target Zones, WP99-11
12.Paul Marriott and Mark Salmon, An Introduction to Differential Geometry in Econometrics, WP99-10
13.Mark Dixon, Anthony Ledford and Paul Marriott, Finite Sample Inference for Extreme Value
Distributions, WP99-09
14.Ian Marsh and David Power, A Panel-Based Investigation into the Relationship Between
Stock Prices and Dividends, WP99-08
15.Ian Marsh, An Analysis of the Performance of European Foreign Exchange Forecasters,
WP99-07
16.Frank Critchley, Paul Marriott and Mark Salmon, An Elementary Account of Amari's Expected
Geometry, WP99-06
17.Demos Tambakis and Anne-Sophie Van Royen, Bootstrap Predictability of Daily Exchange
Rates in ARMA Models, WP99-05
18.Christopher Neely and Paul Weller, Technical Analysis and Central Bank Intervention,
WP99-04
19.Christopher Neely and Paul Weller, Predictability in International Asset Returns: A Re-examination, WP99-03
20.Christopher Neely and Paul Weller, Intraday Technical Trading in the Foreign Exchange Market, WP99-02
21.Anthony Hall, Soosung Hwang and Stephen Satchell, Using Bayesian Variable Selection
Methods to Choose Style Factors in Global Stock Return Models, WP99-01
1998
1. Soosung Hwang and Stephen Satchell, Implied Volatility Forecasting: A Compaison of
Different Procedures Including Fractionally Integrated Models with Applications to UK Equity Options, WP98-05
2. Roy Batchelor and David Peel, Rationality Testing under Asymmetric Loss, WP98-04
4. Adam Kurpiel and Thierry Roncalli , Option Hedging with Stochastic Volatility, WP98-02
