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Stock Price Volatility: Tests Based on the Geometric Random Walk
6 references·9 citing·52 second hop
Stock Price Volatility: Tests Based on the Geometric Random Walk (1992)Stock Price Volatility: Tests Based on th…Efficient Capital Markets and Martingales (1989)Efficient Capital Markets and…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 …Bias in Small Sample Tests of Stock Price Rationality (1986)Bias in Small Sample Tests of…Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence (1983)Excess Volatility in the Fina…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…Multi-Groups Decision Making using Intuitionistic-valued Hesitant Fuzzy Information (2016)Multi-Groups Decision Making …Risk aversion, investor information and stock market volatility (2014)Risk aversion, investor infor…Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation (2014)Little guys, liquidity, and t…Liquidity and asset prices in rational expectations equilibrium with ambiguous information (2011)Liquidity and asset prices in…Dividend Pricing Models and REITs (2003)Dividend Pricing Models and R…Participation Costs, Trend Chasing, and Volatility of Stock Prices (1998)Participation Costs, Trend Ch…Efficient Markets, Fundamentals, and Crashes (1998)Efficient Markets, Fundamenta…Over‐Reaction by Security Market Analysts: The Impact of Broker Status and Firm Size (1996)Over‐Reaction by Security Mar…Speculative bubbles with stochastic explosive roots: The failure of unit root testing (1995)Speculative bubbles with stoc…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Judgment under Uncertainty: Heuristics and Biases (1975)The Economics of Wagering Markets (1998)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)The Decision Usefulness of Fair Value Accounting – A Theoretical Perspective (2007)The Determinants of the Variability of Stock Market Prices (1980)The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation (1988)BUBBLES AND FADS IN ASSET PRICES (1989)Two Pillars of Asset Pricing (2014)Risk, Ambiguity, and the Savage Axioms (1961)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Ambiguity and Rational Expectations Equilibria (2011)Core and equilibria under ambiguity (2011)Prospect Theory and market quality (2013)Asset Prices in an Exchange Economy (1978)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Efficient Capital Markets: II (1991)US and Domestic Market Gains and Asian Investors’ Overconfident Trading Behavior (2013)Expectations and Stock Market Participation: Theory and Evidence (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Liquidity and interest rates (1990)Explaining the Variance of Price–Dividend Ratios (1992)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Lectures on macroeconomics (1990)Equity price bubbles in the Middle Eastern and North African Financial markets (2009)Critical Values for Cointegration Tests (2010)Exchange rate bubbles: Fundamental value estimation and rational expectations test (2012)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Econometrics of Financial Markets (1997)REIT Dividend Policies and Dividend Announcement Effects During the 2008–2009 Liquidity Crisis (2012)The Econometrics of Financial Markets (2012)Liquidity, Accounting Transparency, and the Cost of Capital: Evidence from Real Estate Investment Trusts (2014)A bibliometric review of dividend policy literature (2023)MONEY, INCOME, AND CAUSALITY (1972)Does the Stock Market Overreact? (1985)ARCH modeling in finance (1992)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)The General Theory of Employment, Interest and Money. (1936)Time Series Analysis: Forecasting and Control (1977)Asset Price Volatility, Bubbles, and Process Switching (1986)The Volatility of Stock Market Prices (1987)An Empirical Test of the Accounting‐Based Residual Income Model and the Traditional Dividend Discount Model (2005)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)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)
this work references cited by second hop

References

  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1989Efficient Capital Markets and Martingales505 cited
  • 1986Variance Bounds Tests and Stock Price Valuation Models484 cited
  • 1983Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence293 cited
  • 1986Bias in Small Sample Tests of Stock Price Rationality75 cited

Cited by

  • 2011Liquidity and asset prices in rational expectations equilibrium with ambiguous information104 cited
  • 1995Speculative bubbles with stochastic explosive roots: The failure of unit root testing77 cited
  • 1998Participation Costs, Trend Chasing, and Volatility of Stock Prices63 cited
  • 2003Dividend Pricing Models and REITs55 cited
  • 2014Risk aversion, investor information and stock market volatility37 cited
  • 2016Multi-Groups Decision Making using Intuitionistic-valued Hesitant Fuzzy Information34 cited
  • 2014Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation29 cited
  • 1998Efficient Markets, Fundamentals, and Crashes27 cited

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  • 1996Over‐Reaction by Security Market Analysts: The Impact of Broker Status and Firm Size16 cited