The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871–2012

According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the long-run. In this paper, the authors consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical description of the Present Value model of U.S. stock prices. The methodology is based on instability tests recently proposed in Kejriwal and Perron (The limit distribution of the estimates in cointegrated regression models with multiple structural changes, 2008, and Testing for multiple structural changes in cointegrated regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein-Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock prices and the log dividends. However, the empirical results also show that the cointegrating relationship has changed over time. In particular, the Kejriwal-Perron tests for testing multiple structural breaks in cointegrated regression models suggest a model of three or two regimes.

多项实证研究表明，现值模型（Present Value Model）无法解释长期股票价格的运行特征。本文中，作者探讨了引入多重结构突变的线性协整回归模型（cointegrated regression model），认为该模型或能更优地实证刻画美国股票价格的现值模型。本研究的方法论基础包括：Kejriwal与Perron分别于2008年发表的《多重结构突变协整回归模型中估计量的极限分布》、2010年发表的《协整回归模型中的多重结构突变检验》中提出的稳定性检验，以及Arai与Kurozumi于2007年发表的《带结构突变的协整原假设检验》、Kejriwal于2008年发表的《带结构突变的协整：在费尔德斯坦-堀冈谜题中的应用》所开发的协整检验方法。所得结果与对数股价和对数股息间存在线性协整关系的结论相一致，但实证结果同时表明，该协整关系随时间推移发生了变化。具体而言，用于检验协整回归模型中多重结构突变的Kejriwal-Perron检验表明，该模型存在三个或两个区制。