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Causes of changing financial market volatility
16 references·0 citing·39 second hop
Causes of changing financial market volatility (1988)Causes of changing financial market volat…Survey evidence on diffusion of interest and information among investors (1989)Survey evidence on diffusion …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Margin requirements, volatility, and the transitory component of stock prices (1988)Margin requirements, volatili…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence (1987)Investor Behavior in the Octo…An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1987)An Analysis of the Implicatio…Variance Bounds Tests and Stock Price Valuation Models (1986)Variance Bounds Tests and Sto…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Dividend Innovations and Stock Price Volatility (1986)Dividend Innovations and Stoc…Testing the Random Walk Hypothesis: Power versus Frequency of Observation (1985)Testing the Random Walk Hypot…An Unbiased Reexamination of Stock Market Volatility (1985)An Unbiased Reexamination of …Do Sunspots Matter? (1983)Do Sunspots Matter?Dividend variability and variance bounds tests for the rationality of stock market prices (1983)Dividend variability and vari…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Dividend Policy, Growth, and the Valuation of Shares (1961)Fads in the Initial Public Offering Market? (1990)Liquidity and interest rates (1990)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Explaining the Variance of Price–Dividend Ratios (1992)Telling more than we can know: Verbal reports on mental processes. (1977)Mail and Telephone Surveys: The Total Design Method. (1982)Does the Stock Market Overreact? (1985)Bulls, bears and market sheep (1990)Beyond Greed and Fear (2002)Social Mood and Financial Economics (2005)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Efficient Market Hypothesis and Its Critics (2003)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Presidential Address: Discount Rates (2011)Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2012)Asset Bubbles and Overlapping Generations (1985)On Endogenous Competitive Business Cycles (1986)Rationality of Self and Others in an Economic System (1986)Using Financial Data to Measure Effects of Regulation (1981)The Persistence of Volatility and Stock Market Fluctuations (1984)Stock Market Volatility (1990)Investor Psychology and Asset Pricing (2001)
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References

  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1983Do Sunspots Matter?1,017 cited
  • 1989Survey evidence on diffusion of interest and information among investors599 cited
  • 1986Variance Bounds Tests and Stock Price Valuation Models484 cited
  • 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
  • 1983Dividend variability and variance bounds tests for the rationality of stock market prices435 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1986Dividend Innovations and Stock Price Volatility313 cited
  • 1987Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence305 cited
  • 1987An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies280 cited
  • 1985An Unbiased Reexamination of Stock Market Volatility

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210 cited
  • 1988Margin requirements, volatility, and the transitory component of stock prices85 cited
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