"The Components Of Stock Prices: Evidence From The Japanese Stock Markets"

Abstract

This study establishes permanent and temporary components of equity returns in the Japanese equity markets using, as explanatory variables, the fundamentals of stock prices. We employ the structural Vector Auregression Approach (VAR) to a data set for the period January 1955 to December 1997. We consider the "information" hypothesis of dividends to justify the components of stock returns.