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Speculative Behavior, Regime-Switching, and Stock Market Crashes
16 references·10 citing·39 second hop
Speculative Behavior, Regime-Switching, and Stock Market Crashes (1999)Speculative Behavior, Regime-Switching, a…American Economic Review (2019)American Economic ReviewCredit Cycles (1997)Credit CyclesMean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesAutoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Efficient Capital Markets: II (1991)Efficient Capital Markets: IILectures on Macroeconomics. (1990)Lectures on Macroeconomics.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 pricesDividend yields and expected stock returns (1988)Dividend yields and expected …Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1988)Bubbles, Crashes, and Endogen…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…Manias, Panics, and Crashes: A History of Financial Crises (1979)Manias, Panics, and Crashes: …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Date Stamping Bubbles in Real Estate Investment Trusts (2015)Date Stamping Bubbles in Real…Speculative bubbles and the cross-sectional variation in stock returns (2014)Speculative bubbles and the c…Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs? (2013)Commercial Real Estate and Eq…Under/Over-Valuation of the Stock Market and Cyclically Adjusted Earnings (2011)Under/Over-Valuation of the S…The exchange rate and macroeconomic determinants: Time-varying transitional dynamics (2011)The exchange rate and macroec…Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective (2008)Market fundamentals versus ra…Complex Evolutionary Systems in Behavioral Finance (2008)Complex Evolutionary Systems …Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach (2006)Bubbles detection for inter-w…Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index* (2005)Trading Rules from Forecastin…Efficient Markets, Fundamentals, and Crashes (1998)Efficient Markets, Fundamenta…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? (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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Common risk factors in the returns on stocks and bonds (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)The East Asian Financial Crisis: Diagnosis, Remedies, Prospects (1998)The Adaptive Markets Hypothesis (2004)From Financial Crash to Debt Crisis (2011)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Investor Psychology and Asset Pricing (2001)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)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Constraints Risk (2006)Market Liquidity and Funding Liquidity (2008)Upper Echelons: The Organization as a Reflection of Its Top Managers (1984)The Relational View: Cooperative Strategy and Sources of Interorganizational Competitive Advantage (1998)The Promise of Entrepreneurship as a Field of Research (2000)
this work references cited by second hop

References

  • 2019American Economic Review10,902 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1997Credit Cycles5,254 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1979Manias, Panics, and Crashes: A History of Financial Crises2,838 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1988Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets1,269 cited
  • 1990Lectures on Macroeconomics.1,252 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 1996Mean Reversion in Stock Prices1,083 cited

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Cited by

  • 2008Complex Evolutionary Systems in Behavioral Finance49 cited
  • 2015Date Stamping Bubbles in Real Estate Investment Trusts46 cited
  • 2008Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective33 cited
  • 2011The exchange rate and macroeconomic determinants: Time-varying transitional dynamics31 cited
  • 2005Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index*29 cited
  • 2011Under/Over-Valuation of the Stock Market and Cyclically Adjusted Earnings29 cited
  • 2014Speculative bubbles and the cross-sectional variation in stock returns27 cited
  • 2013Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?27 cited
  • 1998Efficient Markets, Fundamentals, and Crashes27 cited
  • 2006Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach18 cited