Campbell, Gareth (2010): Bubbling Dividends.
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Although historical asset price ‘bubbles’ are often attributed to irrationality, the empirical analysis of such episodes has been limited. The results presented in this paper suggest that during an historical price reversal, investors successfully incorporated forecasts of short-term dividend changes into their valuations, but were unable to predict longer-term changes. When short-term growth is controlled for, it appears that the railways were priced consistently with the non-railways for almost the entire episode. These findings may imply that investors had imperfect foresight, but that they acted consistently.
|Item Type:||MPRA Paper|
|Original Title:||Bubbling Dividends|
|Keywords:||bubbles, financial crises|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions
N - Economic History > N2 - Financial Markets and Institutions > N23 - Europe: Pre-1913
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Gareth Campbell|
|Date Deposited:||04. Apr 2011 07:07|
|Last Modified:||22. Feb 2015 15:30|
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Available Versions of this Item
Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania. (deposited 05. Apr 2010 02:21)
Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania. (deposited 20. Apr 2010 20:37)
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- Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania. (deposited 20. Apr 2010 20:37)