Non-Linearity in the Dividend Yield: A Comparison of the US and Japan

Andreas Humpe
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Abstract

In order to examine non-linear predictability of the US and Japanese dividend-yield ratio, smooth transition regression model analysis is applied to an extended time period of data. The theoretical basis for investigating non-linear behaviour in stock returns can be based on the interaction between noise traders and arbitrageurs or behavioural finance theories of non-linear risk aversion. Our findings support non-linearity in the US and Japanese dividend yield that might be linked to differences in the market structure of the Japanese stock market compared to the US. Specifically, there is evidence of an inner momentum and an outer mean reversion regime in both countries. However, the momentum regime appears to be larger in the US compared to Japan.
股利收益率的非线性:美国与日本的比较
为了检验美国和日本股息收益率的非线性可预测性,我们将平滑过渡回归模型分析应用于一段较长时间的数据。研究股票收益非线性行为的理论基础可以基于噪声交易者和套利者之间的相互作用或非线性风险规避的行为金融学理论。我们的研究结果支持美国和日本股息收益率的非线性,这可能与日本股市与美国相比市场结构的差异有关。具体而言,两国均存在内部动量和外部均值回归机制的证据。然而,与日本相比,美国的增长势头似乎更大。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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