Cointegration tests of present value models with a time‐varying discount factor
通过模拟分析发现，折现率的持续性而非波动性会显著影响现值模型中协整检验的功效，并用美国股市数据说明高持续性的预期收益模型能解释股价与股利间协整关系不显著的现象。
Abstract The paper analyses the impact of persistence and volatility in the discount rate in present‐value models on cointegration tests in levels and in logarithms. In simulations we find that the probability of not rejecting the null of no cointegration depends on the persistence of the discount rate process and can be very high when the expected returns process is highly persistent. In contrast, the cointegration tests are very robust with respect to the level of volatility in the discount rate. We discuss the relevance of our findings for the US stock market where standard ADF tests do not reject the null of no cointegration between stock prices and dividends. Based on estimates of persistence in four asset pricing models, we find that a model which links expected returns to the dividend yield is sufficiently persistent to explain the failure of rejecting the null that stock prices and dividends are not cointegrated.