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Survey Expectations of Returns and Asset Pricing Puzzles
16 references·0 citing·39 second hop
Survey Expectations of Returns and Asset Pricing Puzzles (2014)Survey Expectations of Returns and Asset …X-CAPM: An extrapolative capital asset pricing model (2014)X-CAPM: An extrapolative capi…Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Variable Rare Disasters: An E…Time Series Momentum (2011)Time Series MomentumTerm Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset (2011)Term Premia and Inflation Unc…PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)PE Ratios, PEG Ratios, and Es…Macroeconomic Expectations of Households and Professional Forecasters (2003)Macroeconomic Expectations of…Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)Equity Premia as Low as Three…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Forward and spot exchange rates (1984)Forward and spot exchange rat…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Disclosure level and the cost of equity capital. (1997)The Equity Premium (2002)Corporate social responsibility disclosure and the cost of equity capital: The roles of stakeholder orientation and financial transparency (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cross-Section of Expected Stock Returns (1992)Political connections and the cost of equity capital (2012)The relevance of environmental disclosures: Are such disclosures incrementally informative? (2013)Asymmetric Volatility and Risk in Equity Markets (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
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References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2004PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital1,749 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 2001Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets1,516 cited
  • 2011Time Series Momentum1,470 cited
  • 2003Macroeconomic Expectations of Households and Professional Forecasters1,170 cited
  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 2014

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X-CAPM: An extrapolative capital asset pricing model
650 cited
  • 2011Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset504 cited
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