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Explaining stock price movements: is there a case for fundamentals?
16 references·0 citing·44 second hop
Explaining stock price movements: is there a case for fundamentals? (2001)Explaining stock price movements: is ther…The Equity Premium (2002)The Equity PremiumLow-Frequency Movements in Stock Prices: A State-Space Decomposition (2002)Low-Frequency Movements in St…The Declining U.S. Equity Premium (2001)The Declining U.S. Equity Pre…Is the Stock Market Overvalued? (2000)Is the Stock Market Overvalue…The Shrinking Equity Premium (1999)The Shrinking Equity PremiumDow 36,000: The New Strategy for Profiting From the Coming Rise in the Stock Market (1999)Dow 36,000: The New Strategy …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Where is the Market Going? Uncertain Facts and Novel Theories (1998)Where is the Market Going? Un…Valuation Ratios and the Long-Run Stock Market Outlook (1998)Valuation Ratios and the Long…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Movements in the Equity Premium (1993)Movements in the Equity Premi…Effects of model specification on tests for unit roots in macroeconomic data (1987)Effects of model specificatio…Perspectives on High World Real Interest Rates (1984)Perspectives on High World Re…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…The Investment, Financing, and Valuation of the Corporation (1963)The Investment, Financing, an…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)The equity premium: A puzzle (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Equity Premium in Retrospect (2003)The market price of risk and the equity premium: A legacy of the Great Depression? (2008)The q‐Theory Approach to Understanding the Accrual Anomaly (2009)DEBT AND TAXES* (1977)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Prosperity and Depression (2002)Comparing solution methods for dynamic equilibrium economies (2005)Brand Capital and Firm Value (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Why Does Stock Market Volatility Change Over Time? (1989)Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)The distribution of realized stock return volatility (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Business conditions and expected returns on stocks and bonds (1989)Predicting returns with financial ratios (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Dissecting green returns (2022)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Household Risk Management and Optimal Mortgage Choice (2003)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Stock Market and Capital Accumulation (2001)Robust Portfolio Rules and Asset Pricing (2004)Forecasting Stock Returns (2013)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2002The Equity Premium1,331 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 1998Valuation Ratios and the Long-Run Stock Market Outlook788 cited
  • 1987Effects of model specification on tests for unit roots in macroeconomic data637 cited
  • 1993Movements in the Equity Premium262 cited
  • 2000Is the Stock Market Overvalued?246 cited
  • 2001The Declining U.S. Equity Premium213 cited
  • 1999The Shrinking Equity Premium195 cited
  • 1984Perspectives on High World Real Interest Rates167 cited
  • 1998Where is the Market Going? Uncertain Facts and Novel Theories158 cited
  • 2002Low-Frequency Movements in Stock Prices: A State-Space Decomposition119 cited

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1999
Dow 36,000: The New Strategy for Profiting From the Coming Rise in the Stock Market
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