Open Access"The Components Of Stock Prices: Evidence From The Japanese Stock Markets"
Author(s) -
Dimitrios Tsoukalas
Publication year - 2011
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.149
H-Index - 22
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v16i1.2028
Subject(s) - stock (firearms) , equity (law) , dividend , economics , monetary economics , econometrics , finance , geography , political science , archaeology , law
This study establishes permanent and temporary components of equity returns in the Japanese equity markets using, as explanatory variables, the fundamentals of stock prices. We employ the structural Vector Auregression Approach (VAR) to a data set for the period January 1955 to December 1997. We consider the "information" hypothesis of dividends to justify the components of stock returns.