Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets

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• 作者：Shyh-Wei Chen^a ; ^{shyhwei.chen@gmail.com} ; ^{schen@thu.edu.tw} ; Zixiong Xie^b ; ^{zixiong.xie@gmail.com}
• 关键词：G12 ; C22
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：48
• 期：Complete
• 页码：339-354
• 全文大小：607 K
• 卷排序：48

文摘

This study examines the bubble-like behavior in the dividend yields of eight international stock markets. We propose a new test for a unit root under assumptions of two smooth breaks and asymmetric adjustment. We find that structural break is an important feature of the dividend yield. The empirical results do not favor an symmetric adjustment for the dividend yield.