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Showing result 1 - 5 of 7 essays matching the above criteria.

1. 1. Do global oil prices drive domestic food prices? : evidence from the Middle East countries

   University essay from SLU/Dept. of Economics

   Author : Madina Alieva; [2019]
   Keywords : food price; crude oil price; cointegration; VECM; Middle East;

   Abstract : This study investigates the dynamic relationship between global oil prices and domestic food prices across 11 countries of the Middle East. Using monthly data covering the period from January 2010 to October 2018, the study employs long-run cointegration tests, vector error correction model (VECM) and vector autoregression (VAR) model to examine the effect of global oil prices on domestic food prices in a sample of Middle East countries. READ MORE

3. 2. Explaining the NAV Discount in REIT pricing - Evidence from the U.S.

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jerry Aaltonen; Bowen Li; [2019]
   Keywords : REITs; Dynamic relationship; NAV discount; Closed-end fund puzzle; United States;

   Abstract : This paper investigates the relationship between stock price and net asset value (NAV) for 71 real estate investment trusts (REITs) in the U.S. between Q1/1998 and Q4/2018. More specifically, by testing for cointegration, we look for evidence of a long-term equilibrium between stock price and NAV. READ MORE

4. 3. The short and long-term interdependencies between stock prices and dividends:  A panel vector error correction approach

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Rickard Persson; [2015]
   Keywords : Present value model; Lintners model; PVECM; Stock price; dividends; FTSE; Cointegration; London stock exchange; panel vector error correction; utdelningar; aktiepris; aktie; London börsen;

   Abstract : This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle & Grangers (1987) two-step procedure. READ MORE

5. 4. The relationship between stock price, book value and residual income:   A panel error correction approach

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Oskar Brandt; Rickard Persson; [2015]
   Keywords : Accounting based valuation; stock valuation; residual income; Ohlson’s model; PECM; Cointegration; Panel unit root; Stock price; book value; dividends; dividend discount model; aktier; utdelningar; residual inkomst; aktie värderingar; Ohlson s model;

   Abstract : In this paper we examine the short and long-term relations between stock price, book value and residual income.  We employ a panel error correction model, estimated with Engle & Granger’s (1987) two-step procedure and the single equation methodology. The models are estimated with FE-OLS and the MG-estimator. READ MORE

6. 5. The Relationship between Insurance Market Activity and Economic Growth

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Yana Petrova; [2014]
   Keywords : Insurance; Economic Growth; Non-stationary Panels; Cointegration; Vector Error Correction Model; Business and Economics;

   Abstract : This research examines the short- and the long-run relationship between insurance market activity and economic growth for a panel data set of 80 countries for the period 2001-2012. Insurance market is investigated as a whole and separately as life and non-life insurance sectors. READ MORE