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Volatility Tests and Efficient Markets: A Review Essay
0 references·16 citing·50 second hopsampled
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  • 2019Policy News and Stock Market Volatility316 cited
  • 2006ECONOMIC FUNDAMENTALS IN LOCAL HOUSING MARKETS: EVIDENCE FROM U.S. METROPOLITAN REGIONS293 cited
  • 2009Heterogeneity, Market Mechanisms, and Asset Price Dynamics206 cited
  • 2010Valuing the future: the social discount rate in cost benefit analysis157 cited
  • 2000The Equity Premium147 cited
  • 2001Why long horizons? A study of power against persistent alternatives134 cited
  • 2015Dividend Dynamics and the Term Structure of Dividend Strips132 cited
  • 1995Real Estate Market Efficiency: Issues and Evidence132 cited
  • 1998Permanent, Temporary, and Non-Fundamental Components of Stock Prices122 cited
  • 1995The Response of Stock Prices to Permanent and Temporary Shocks to Dividends120 cited
  • 2002Low-Frequency Movements in Stock Prices: A State-Space Decomposition119 cited
  • 2008The Poor Predictive Performance of Asset Pricing Models110 cited
  • 2013Predictive regression under various degrees of persistence and robust long-horizon regression109 cited
  • 2004tay's as good as cay108 cited
  • 2014Dividend Predictability Around the World

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103 cited
  • 2007The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion102 cited