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Can a well‐fitted equilibrium asset‐pricing model produce mean reversion?
13 references·13 citing·39 second hop
Can a well‐fitted equilibrium asset‐pricing model produce mean reversion? (1994)Can a well‐fitted equilibrium asset‐prici…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle (1992)Exact Solutions for Expected …The Equity Premium and the Risk Free Rate: Matching the Moments (1991)The Equity Premium and the Ri…Expectations and Volatility of Consumption and Asset Returns (1990)Expectations and Volatility o…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Equilibrium Asset Prices (1988)Mean Reversion in Equilibrium…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85 (1987)A Comparison of Annual Common…Finite state markov-chain approximations to univariate and vector autoregressions (1986)Finite state markov-chain app…The equity premium: A puzzle (1985)The equity premium: A puzzleAsset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey (2011)Markov Switching in Portfolio…Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals (2011)Asset Return Dynamics Under B…Essay in dividend modelling and forecasting: does nonlinearity help? (2009)Essay in dividend modelling a…Asset Return Dynamics under Bad Environment-Good Environment Fundamentals (2009)Asset Return Dynamics under B…The Consumption-Wealth Ratio under Asymmetric Adjustment (2008)The Consumption-Wealth Ratio …Taylor-type rules versus optimal policy in a Markov-switching economy (2008)Taylor-type rules versus opti…An Analytical Framework for Assessing Asset Pricing Models and Predictability (2008)An Analytical Framework for A…Fractional integration and mean reversion in stock prices (2002)Fractional integration and me…A simple method of testing for cointegration subject to multiple regime changes (2002)A simple method of testing fo…A aleatoriedade do passeio na Bovespa: testando a eficiência do mercado acionário brasileiro (2002)A aleatoriedade do passeio na…Speculative Behaviour, Regime-Switching and Stock Market Crashes (1998)Speculative Behaviour, Regime…PICKING WINNERS? A SURVEY OF THE MEAN REVERSION AND OVERREACTION OF STOCK PRICES LITERATURE (1996)PICKING WINNERS? A SURVEY OF …Consumption and equilibrium asset pricing: An empirical assessment (1992)Consumption and equilibrium a…Economic Forces and the Stock Market (1986)Asset‐pricing Puzzles and Incomplete Markets (1993)Stock price volatility and equity premium (2001)Macro-Finance (2017)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? 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this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1986Finite state markov-chain approximations to univariate and vector autoregressions1,538 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1990Expectations and Volatility of Consumption and Asset Returns301 cited
  • 1988Mean Reversion in Equilibrium Asset Prices293 cited
  • 1991The Equity Premium and the Risk Free Rate: Matching the Moments223 cited
  • 1987A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-8561 cited
  • 1992Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle58 cited

Cited by

  • 2002Fractional integration and mean reversion in stock prices52 cited
  • 1992Consumption and equilibrium asset pricing: An empirical assessment

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42 cited
  • 2011Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals33 cited
  • 1996PICKING WINNERS? A SURVEY OF THE MEAN REVERSION AND OVERREACTION OF STOCK PRICES LITERATURE30 cited
  • 2011Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey28 cited
  • 2008An Analytical Framework for Assessing Asset Pricing Models and Predictability27 cited
  • 2009Asset Return Dynamics under Bad Environment-Good Environment Fundamentals24 cited
  • 1998Speculative Behaviour, Regime-Switching and Stock Market Crashes23 cited
  • 2002A simple method of testing for cointegration subject to multiple regime changes22 cited
  • 2002A aleatoriedade do passeio na Bovespa: testando a eficiência do mercado acionário brasileiro22 cited
  • 2008Taylor-type rules versus optimal policy in a Markov-switching economy18 cited
  • 2009Essay in dividend modelling and forecasting: does nonlinearity help?15 cited
  • 2008The Consumption-Wealth Ratio under Asymmetric Adjustment13 cited