Open Access
How stable is the underlying process of stock prices? Empirical evidence of structural breaks in the firm-level dividend of the U.S. firms
Nur Syazwani Mazlan,George Bulkley +1 more
- 01 Jan 2015
2
TL;DR: In this paper, the authors present empirical evidence of instability in the form of structural breaks in dividend at the firm level of the U.S. firms, based on the Bai and Perron (2003) structural break program that estimates multiple breaks based on deterministic econometric approach.
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Abstract: In this paper, we present empirical evidence of instability in the form of structural breaks in dividend at the firm level of the U.S. firms. We perform the Bai and Perron (2003) structural break program that estimates multiple breaks based on deterministic econometric approach. We also observe for links between any specific episodes in the economic and financial history of the U.S and structural breaks detected in the dividend process of the U.S firms.
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Citations
Monetary-Fiscal policies and stock market performance: Evidence from linear ARDL framework
Aref Emamian,Nur Syazwani Mazlan +1 more
- 14 Mar 2021
TL;DR: In this article, the authors explored the impacts of monetary and fiscal policies, the appropriateness of both policies and how the stock market is affected by their adoption and implementation in the United States (US).
Structural Breaks in Global Stock Markets: Are They Caused by Pandemics, Protests or Other factors?
TL;DR: In this paper , the impact of COVID-19 pandemic and other similar global events on the global stock market was examined and the Bai and Perron's multiple structural break approach was adopted.
References
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
TL;DR: In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.
Dividend Policy, Growth, and the Valuation of Shares
TL;DR: In this paper, the effect of differences in dividend policy on the current price of shares in an ideal economy characterized by perfect capital markets, rational behavior, and perfect certainty is examined.
Computation and analysis of multiple structural change models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the break dates and the number of breaks in a linear model with multiple structural changes has been considered and an efficient algorithm based on the principle of dynamic programming has been proposed.
5.7K
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Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]
TL;DR: In this article, the unit root hypothesis is examined allowing a possible one-time change in the level or in the slope of the trend function, and it is shown that when fluctuations are stationary around a breaking trend, standard tests cannot reject the unit-root hypothesis even asymptotically.
4.9K
•Posted Content
Computation and Analysis of Multiple Structural-Change Models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the number of break dates in a linear model with multiple structural changes has been studied and an efficient algorithm to obtain global minimizers of the sum of squared residuals has been proposed.
3.8K