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題名：Essays on Stock Bubbles
作者：鄭光甫 引用關係
作者(外文)：Kuang-Fu Cheng
校院名稱：國立中正大學
系所名稱：財務金融所
指導教授：陳安行
學位類別：博士
出版日期：2009
主題關鍵詞：Predict；Stock bubbles；Stock return；Predict；Stock bubbles；Stock return
原始連結：連回原系統網址new window
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The first essay, entitled “Stock Bubble and Stock Return Predictability”.
Under no bubble assumption, dividend-price model imply dividend-price ratio should be useful in forecasting future stock return or dividend growth, or both. We use fundamentals, such as dividend-price ratio or smoothed earnings-price ratio, to predict stock return for 1871 to 2004 period. We find stock bubble really matter in stock return predictability. For no bubble subperiod, 1871 to 1950, we find strong evidence that fundamentals have predictive power. However, this stock predictability disappears during two bubble subperiods whatever including or omitting 1990s decade, 1951 to 2004 or 1951 to 1990. We also find the similar results for dividend growth and earnings growth predictability. We conclude that dividend-price ratio and smoothed earnings-price ratio can predict future stock returns or cash flows, but only in the periods absent bubbles.
The second essay, entitled “Periodically Collapsing Bubbles and Bivariate Causality between Stock Prices and Earnings: Evidence from S&P 500 Index”.
We examine the effect of 1990’s S&P periodically collapsing bubble on the stock return predictability by changes in earnings under a bivariate causality model. We clearly identify that 1990’s S&P periodically collapsing bubble began from Nov. 1996 and ended on Apr. 2002 by a forward recursive regression technique developed by Phillips et al. (2007). We find that changes in earnings do not granger cause stock return over our full sample period from Feb. 1973 to June 2007. However, once we control for the bubble effect, the evidence shows that stock return really respond to changes in earnings over the pre-bubble period, Feb. 1973 to Oct. 1996, and post-bubble period, May 2002 to June 2007. Additionally, the no causality result in the bubble period is the same with full sample period. We conclude that stock price bubbles really affect the predictability of stock returns by changes in earnings, and this predictability only exist in the period of no bubble. Finally, on the other hand, we find no causality from stock return to changes in earnings whatever in the full sample period or bubble sub-period.
The first essay, entitled “Stock Bubble and Stock Return Predictability”.
Under no bubble assumption, dividend-price model imply dividend-price ratio should be useful in forecasting future stock return or dividend growth, or both. We use fundamentals, such as dividend-price ratio or smoothed earnings-price ratio, to predict stock return for 1871 to 2004 period. We find stock bubble really matter in stock return predictability. For no bubble subperiod, 1871 to 1950, we find strong evidence that fundamentals have predictive power. However, this stock predictability disappears during two bubble subperiods whatever including or omitting 1990s decade, 1951 to 2004 or 1951 to 1990. We also find the similar results for dividend growth and earnings growth predictability. We conclude that dividend-price ratio and smoothed earnings-price ratio can predict future stock returns or cash flows, but only in the periods absent bubbles.
The second essay, entitled “Periodically Collapsing Bubbles and Bivariate Causality between Stock Prices and Earnings: Evidence from S&P 500 Index”.
We examine the effect of 1990’s S&P periodically collapsing bubble on the stock return predictability by changes in earnings under a bivariate causality model. We clearly identify that 1990’s S&P periodically collapsing bubble began from Nov. 1996 and ended on Apr. 2002 by a forward recursive regression technique developed by Phillips et al. (2007). We find that changes in earnings do not granger cause stock return over our full sample period from Feb. 1973 to June 2007. However, once we control for the bubble effect, the evidence shows that stock return really respond to changes in earnings over the pre-bubble period, Feb. 1973 to Oct. 1996, and post-bubble period, May 2002 to June 2007. Additionally, the no causality result in the bubble period is the same with full sample period. We conclude that stock price bubbles really affect the predictability of stock returns by changes in earnings, and this predictability only exist in the period of no bubble. Finally, on the other hand, we find no causality from stock return to changes in earnings whatever in the full sample period or bubble sub-period.
Chapter 1 References
Ang, A. and G. Bekaert, 2007, Stock Return Predictability: Is it there? Review of Financial Studies 20, 651-707.
Ang, A. and J. Liu, 2007, Risk, return and dividends, Journal of Financial Economics 85, 1-38.
Bagwell, L. S., and J. B. Shoven, 1989, Cash distributions to shareholders, Journal of Economic Perspectives 3, 129-149.
Boudoukh, J. and M. Richardson, 1993, The statistics of long-horizon regressions, Mathematical Finance 4, 103-120.
Campbell, J. Y. and R. J. Shiller, 1988a, Stock prices, earnings, and expected dividends, Journal of Finance 43, 661-676.
Campbell, J. Y. and R. J. Shiller, 1988b, The dividend-price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195-228.
Campbell, J. Y. and R. J. Shiller, 2001, Valuation ratios and the long-run stock market outlook: an update, Cowles Foundation Discussion Paper No. 1295.
Campbell, J. Y., and M. Yogo, 2006, Efficient tests of stock returns predictability, Journal of Financial Economics 81, 27-60.
Fama, E. F. and K. R. French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-25.
Fama, E. F., and K. R. French, 2001, Disappearing dividends: Changing firm characteristics or lower propensity to pay, Journal of Financial Economics 60, 3-43.
Fama, E. F., and K. R. French, 2002, The equity premium, Journal of Finance 57, 637-659.
Froot, K. A., and M. Obstfeld, 1991, Intrinsic bubbles: the case of stock prices, American Economic Review 78, 1189-1214.
Goyal, A. and I. Welch, 2003, Predicting the equity premium with dividend ratios, Management Science 49, 639-654.
Graham, B. and D. L. Dodd, 1934, Security Analysis, 1st edition, N.Y.: McGraw Hill.
Hansen, L. P. and R. J. Hodrick, 1980, Forward exchange rates as optimal predictors of future spot rates, Journal of Political Economy 88, 829-853.
Hodrick, R. J., 1992, Dividend yields and expected stock returns: alternative procedures for inference and measurement, Review of Financial Studies 5, 357-386.
Kim, M. J., C. R. Nelson and R. Startz, 1991, Mean reversion in stock prices? A reappraisal of the empirical evidence, Review of Economic Studies 58, 515-528.
Kwiatkowski, D., P. C. B. Phillips, P. Schmidt and Y. Shin, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics 54, 159-178.
Lamont, O., 1998, Earnings and expected returns, Journal of Finance 53, 1563-1587.
Lettau, M. and S. C. Ludvigson, 2005, Expected returns and expected dividend growth, Journal of Financial Economics 76, 583-626.
Lewellen, J., 2004, Predicting returns with financial ratios, Journal of financial Economics 74, 209-235.
Nelson, C. R., and M. J. Kim, 1993, Predictable stock returns: the role of small sample bias, Journal of Finance 48, 641-661.
Newey, W. K., and K. D. West, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
Phillips, P. C. B., and P. Perron, 1988, Testing for a unit root in time series regression, Biometrica 75, 335-346.
Richardson, M. and T. Smith, 1991, Tests of financial models in the presence of overlapping observations, Review of Financial Studies 4, 227-254.
Shiller, R. J., 1989, Market Volatility, Cambridge, MA: MIT Press

Chap2 References
Andrews, D. and J. Y. Kim, 2006, End-of-sample cointegration breakdown tests, Journal of Business and Economic Statistics 24, 379-394.
Ang, A. and G. Bekaert, 2007, Stock return predictability: Is it there? The Review of Financial Studies 20, 651-707.
Campbell, J.Y. and R.J. Shiller, 1988, Stock prices, earnings, and expected dividends, The Journal of Finance 3, 661-676.
Curtis, A., 2005, Can market price diverge from fundamentals for an extended period? Evidence from the Late 1990’s, University of New South Wales. Working Paper.
Diba, B.T. and H.I. Grossman, 1988a, Explosive rational bubbles in stock prices? American Economic Review 78, 520-530.
Diba, B.T. and H.I. Grossman, 1988b, Theory of rational bubbles in stock prices, Economic Journal 98, 746-754.
Dickey, D.A. and W.A. Fuller, 1979, Distribution of the estimators for auto-regressive time series with a unit root, Journal of American Statistical Association 74, 427-431.
Engle, R. F. and C. W. J. Granger, 1987, Cointegration, and error correction: representation, estimation and testing, Econometrica 55, 251-76
Evans, G. W., 1991, Pitfalls in testing for explosive bubbles in asset prices,” American Economic Review 81, 922-930.
Fama, E. F. and K. R. French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-25.
Fuller, W., 1996, Introduction to Statistical Time Series, New York: Wiley.
Goyal, A. and I. Welch, 2003, Predicting the equity premium with dividend ratios, Management Science 49, 639-654.
Granger, C.W.J., 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica 37, 424-38.
Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic and Dynamics and Control 12, 231-254.
Johansen, S. and K. Juselius, 1990, Maximum likelihood estimation and inference on cointegration-with applications to the demand for money,” Oxford Bulletin of Economics and Statistics 52, 160-210.
Kothari, S.P., J. Lewellen and J.B. Warner, 2006, Stock returns, aggregate earnings surprises, and behavioral finance, Journal of Financial Economics 79, 537-568.
Lamont, O., 1998, Earnings and expected returns. The Journal of Finance 53, 1563-1587.
Lee, B. S., 1996, Comovements of earnings, dividends, and stock prices,” Journal of Empirical Finance 3, 327-346
Lee, C. M. C., J. Myers and B. Swaminathan, 1999, What is the intrinsic value of the Dow,” Journal of Finance 54, 1693-1741.
Lettau, M. and S. G. Ludvigson, 2005, Expected returns and expected dividend growth, Journal of Financial Economics 76, 583-626.
Nasseh, A., and J. Strauss, 2004, Stock prices and the dividend discount model: Did their relation break down in the 1990s? The Quarterly Review of Economics and Finance 44, 191-207.
Pan, M.S., 2007, Permanent and transitory components of earnings, dividends, and stock prices, The Quarterly Review of Economics and Finance 47, 535-549.
Phillips, P. C. B., and P. Perron, 1988, Testing for a unit root in time series regression,” Biometrica 75, 335-346.
Phillips, P.C.B., Y. Wu, and J. Yu, 2007, Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? Yale University. Working Paper.
Schwarz, G., 1978, Estimating the dimension of a model, The Annals of Statistics 6, 461-464.
Sadka, G., 2007, Understanding stock price volatility: The role of earnings, Journal of Accounting Research 45, 199-228.
Shiller, R.J., 2005, Irrational Exuberance, 2nd ed., Princeton, NJ, Princeton University Press.
Vuolteenaho, T., 2002, What drives firm-level stock returns? Journal of Finance 46, 191-211.
 
 
 
 
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