{"id":"https://openalex.org/W2051058409","doi":"https://doi.org/10.1080/758533857","title":"Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors","display_name":"Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors","publication_year":1997,"publication_date":"1997-12-01","ids":{"openalex":"https://openalex.org/W2051058409","doi":"https://doi.org/10.1080/758533857","mag":"2051058409"},"language":"en","primary_location":{"id":"doi:10.1080/758533857","doi":"https://doi.org/10.1080/758533857","is_oa":false,"landing_page_url":"https://doi.org/10.1080/758533857","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5046532704","display_name":"Tom Engsted","orcid":"https://orcid.org/0000-0002-5156-571X","observed_orcids":["https://orcid.org/0000-0002-5156-571X"]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Tom Engsted","raw_affiliation_strings":["Department of Finance, The Aarhus School of Business, Fuglesangs Alle 4, Aarhus V, DK-8210, Denmark"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, The Aarhus School of Business, Fuglesangs Alle 4, Aarhus V, DK-8210, Denmark","institution_ids":["https://openalex.org/I204337017"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5064000278","display_name":"Jesper Lund","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Jesper Lund","raw_affiliation_strings":["Department of Finance, The Aarhus School of Business, Fuglesangs Alle 4, Aarhus V, DK-8210, Denmark"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, The Aarhus School of Business, Fuglesangs Alle 4, Aarhus V, DK-8210, Denmark","institution_ids":["https://openalex.org/I204337017"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I204337017"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.37429379,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"7","issue":"6","first_page":"659","last_page":"665"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8241999745368958,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8241999745368958,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.07199999690055847,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.07119999825954437,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/common-stochastic-trends","display_name":"common stochastic trends","score":0.8500000238418579},{"id":"https://openalex.org/keywords/dividends","display_name":"dividends","score":0.7509999871253967},{"id":"https://openalex.org/keywords/present-value-model","display_name":"present value model","score":0.7409999966621399},{"id":"https://openalex.org/keywords/overidentifying-restrictions","display_name":"overidentifying restrictions","score":0.9909999966621399},{"id":"https://openalex.org/keywords/cointegrated-var","display_name":"cointegrated VAR","score":0.8429999947547913},{"id":"https://openalex.org/keywords/likelihood-ratio-test","display_name":"likelihood ratio test","score":0.7739999890327454},{"id":"https://openalex.org/keywords/european-stock-markets","display_name":"European stock markets","score":0.8069999814033508}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.9210587739944458},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.8083309531211853},{"id":"https://openalex.org/C116168712","wikidata":"https://www.wikidata.org/wiki/Q181201","display_name":"Dividend","level":2,"score":0.7763738632202148},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7251098155975342},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5544261932373047},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4805781841278076},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.42270827293395996},{"id":"https://openalex.org/C124953554","wikidata":"https://www.wikidata.org/wiki/Q6217229","display_name":"Johansen test","level":4,"score":0.4209015369415283},{"id":"https://openalex.org/C134024062","wikidata":"https://www.wikidata.org/wiki/Q1401229","display_name":"Error correction model","level":3,"score":0.20618870854377747},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.13764774799346924},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.13005802035331726},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/758533857","doi":"https://doi.org/10.1080/758533857","is_oa":false,"landing_page_url":"https://doi.org/10.1080/758533857","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:apfiec:v:7:y:1997:i:6:p:659-665","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/758533857","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:pure.atira.dk:publications/1b06bb10-24fe-11da-834f-000ea68e967b","doi":null,"is_oa":false,"landing_page_url":"https://pure.au.dk/portal/en/publications/1b06bb10-24fe-11da-834f-000ea68e967b","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Engsted, T & Lund, J 1997, 'Common stochastic trends in international stock prices and dividends. An example of testing overidentifying restrictions on multiple cointegration vectors', Applied Financial Economics, no. 7, pp. 659-665.","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5199999809265137}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W1481945423","https://openalex.org/W1574222479","https://openalex.org/W1587141723","https://openalex.org/W1591325140","https://openalex.org/W1963912781","https://openalex.org/W1975994995","https://openalex.org/W1977610898","https://openalex.org/W1979575715","https://openalex.org/W1993871151","https://openalex.org/W1997346282","https://openalex.org/W2015409005","https://openalex.org/W2016682280","https://openalex.org/W2019975447","https://openalex.org/W2020734117","https://openalex.org/W2034707435","https://openalex.org/W2035008408","https://openalex.org/W2065630570","https://openalex.org/W2066515290","https://openalex.org/W2074158860","https://openalex.org/W2079615115","https://openalex.org/W2097580026","https://openalex.org/W2119143694","https://openalex.org/W2123518587","https://openalex.org/W2153562738","https://openalex.org/W2891117115","https://openalex.org/W3125017137","https://openalex.org/W4230644069","https://openalex.org/W4388085481"],"related_works":["https://openalex.org/W7017997419","https://openalex.org/W2019975447","https://openalex.org/W2044796989","https://openalex.org/W1584755923","https://openalex.org/W3122415679","https://openalex.org/W1845754525","https://openalex.org/W2044275452","https://openalex.org/W7099856560","https://openalex.org/W2991124819","https://openalex.org/W1533852475"],"abstract_inverted_index":{"Based":[0],"on":[1,56,97],"a":[2,6,51,121],"cointegrated":[3],"VAR":[4,84,108],"model,":[5],"joint":[7],"test":[8,47,52,89,111],"of":[9,16,21,53,115,132,151,154],"the":[10,17,46,67,93,98,103,112,130,138,149,152,155,169,185],"within-country":[11,116],"and":[12,26,41,43,79,86,110,117],"crosscountry":[13],"low-frequency":[14],"implications":[15,119],"present":[18,94],"value":[19,95],"model":[20,96,109],"stock":[22,31],"prices":[23,78],"is":[24,48,62],"derived":[25],"applied":[27],"to":[28,66,146],"postwar":[29],"annual":[30],"market":[32],"data":[33],"from":[34],"four":[35,139],"European":[36],"countries.":[37],"Following":[38],"Johansen":[39,42],"(1995)":[40],"Juselius":[44],"(1994)":[45],"formulated":[49],"as":[50],"overidentifying":[54,156],"restrictions":[55,90,157,170,186],"multiple":[57],"cointegration":[58,99],"vectors.":[59],"The":[60,126],"analysis":[61,68,104],"similar":[63],"in":[64,81,137],"spirit":[65],"carried":[69],"out":[70],"by":[71,92,120],"Kasa":[72,76],"(1992).":[73],"However,":[74,178],"whereas":[75],"analyses":[77],"dividends":[80,136,162,180],"two":[82,166],"separate":[83],"models":[85],"does":[87],"not":[88,159,172],"implied":[91],"vectors,":[100],"we":[101],"perform":[102],"within":[105],"one":[106,164],"comprehensive":[107],"full":[113],"set":[114],"cross-country":[118],"single":[122],"likelihood":[123],"ratio":[124],"test.":[125],"empirical":[127],"results":[128,150],"indicate":[129],"presence":[131],"common":[133,167,183],"trends":[134,168],"among":[135],"countries;":[140],"how":[141],"many":[142],"is,":[143],"however,":[144],"difficult":[145],"judge.":[147],"Furthermore,":[148],"tests":[153],"are":[158,171,187],"clearcut.":[160],"If":[161],"share":[163,181],"or":[165],"rejected":[173],"at":[174],"standard":[175],"significance":[176],"levels.":[177],"if":[179],"three":[182],"trends,":[184],"strongly":[188],"rejected.":[189]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}