SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function
14 references·14 citing·39 second hop
The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function (1991)The Temporal Stability of Dividends and S…Understanding Unit Rooters: A Helicopter Tour (1991)Understanding Unit Rooters: A…Exact predictive densities for linear models with arch disturbances (1989)Exact predictive densities fo…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Bayesian skepticism on unit root econometrics (1988)Bayesian skepticism on unit r…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Variance Bounds Tests and Stock Price Valuation Models (1986)Variance Bounds Tests and Sto…An Unbiased Reexamination of Stock Market Volatility (1985)An Unbiased Reexamination of …Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence (1983)Excess Volatility in the Fina…Dividend variability and variance bounds tests for the rationality of stock market prices (1983)Dividend variability and vari…The Use of Volatility Measures in Assessing Market Efficiency* (1981)The Use of Volatility Measure…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Recursive Models of Dynamic Linear Economies (2013)Recursive Models of Dynamic L…Do self-control preferences help explain the puzzling behavior of asset prices? (2006)Do self-control preferences h…Predicting Returns with Financial Ratios (2002)Predicting Returns with Finan…Testing for integration using evolving trend and seasonals models: A Bayesian approach (2000)Testing for integration using…Testing for unit roots in a Bayesian framework (1995)Testing for unit roots in a B…Classical and Bayesian aspects of robust unit root inference (1995)Classical and Bayesian aspect…WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTS (1994)WHAT MACROECONOMISTS SHOULD K…An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates (1994)An objective Bayesian analysi…A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models (1994)A Decision-Theoretic Analysis…A bayesian analysis of trend determination in economic time series (1994)A bayesian analysis of trend …A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model (1994)A Bayesian Analysis Of The Un…Rational bubbles (1993)Rational bubblesNon-stationarity in garch models: A bayesian analysis (1993)Non-stationarity in garch mod…The case for trend‐stationarity is stronger than we thought (1991)The case for trend‐stationari…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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The theory and practice of econometrics (1986)Common stochastic trends in international stock markets (1992)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)Predictive regressions (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Explaining the Variance of Price–Dividend Ratios (1992)The relationship between return and market value of common stocks (1981)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)A simple panel unit root test in the presence of cross‐section dependence (2007)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Foreign Speculators and Emerging Equity Markets (2000)Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the U.S. (2007)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)
this work references cited by second hop

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1988Bayesian skepticism on unit root econometrics527 cited
  • 1986Variance Bounds Tests and Stock Price Valuation Models484 cited
  • 1991Understanding Unit Rooters: A Helicopter Tour451 cited
  • 1983Dividend variability and variance bounds tests for the rationality of stock market prices435 cited
  • 1981The Use of Volatility Measures in Assessing Market Efficiency*337 cited
  • 1983Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence293 cited
  • 1985An Unbiased Reexamination of Stock Market Volatility210 cited
  • 1989Exact predictive densities for linear models with arch disturbances124 cited

Cited by

  • 2013Recursive Models of Dynamic Linear Economies

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

96 cited
  • 2002Predicting Returns with Financial Ratios93 cited
  • 1993Rational bubbles87 cited
  • 1993Non-stationarity in garch models: A bayesian analysis63 cited
  • 2000Testing for integration using evolving trend and seasonals models: A Bayesian approach52 cited
  • 1991The case for trend‐stationarity is stronger than we thought47 cited
  • 1995Testing for unit roots in a Bayesian framework45 cited
  • 1994WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTS44 cited
  • 1994A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models40 cited
  • 2006Do self-control preferences help explain the puzzling behavior of asset prices?37 cited
  • 1995Classical and Bayesian aspects of robust unit root inference34 cited
  • 1994A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model33 cited
  • 1994An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates30 cited
  • 1994A bayesian analysis of trend determination in economic time series26 cited