The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function
用贝叶斯方法分析股息和股价的时间序列性质，发现它们更可能是趋势平稳而非单位根过程，这对股息现值模型是否成立提出了疑问。
The debate over whether the expected present value of dividends adequately describes stock prices hinges in part on whether dividends are trend-stationary or integrated processes: it does not if dividends are trend-stationary; it does if they are integrated. This paper argues that classical statistical tests only indicate that there is not sufficient evidence to reject either specification and provides Bayesian analyses designed to reveal the relative support the data give to the two specifications. The analysis suggests that dividends and prices are more likely to be trend-stationary than integrated, leaving the determination of prices a puzzle. Copyright 1991 by American Economic Association.