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Economic and financial crises and the predictability of U.S. stock returns
16 references·2 citing·46 second hop
Economic and financial crises and the predictability of U.S. stock returns (2007)Economic and financial crises and the pre…Instability of return prediction models (2006)Instability of return predict…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Firm Size and Cyclical Variations in Stock Returns (2000)Firm Size and Cyclical Variat…Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? (1999)Implementing Statistical Crit…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Inference in TAR Models (1997)Inference in TAR ModelsPredictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Inside the Black Box: The Cre…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…The Credit Crunch (1991)The Credit CrunchBusiness conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…Mutual Fund Performance (1966)Mutual Fund PerformanceA boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss (2016)A boosting approach to foreca…Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector (2015)Is the efficient market hypot…Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Noise (1986)Predicting returns in the stock and bond markets (1986)Good Day Sunshine: Stock Returns and the Weather (2003)Expected Stock Returns and Variance Risk Premia (2009)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Industry costs of equity (1997)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditioning Variables and the Cross Section of Stock Returns (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Common risk factors in the returns on stocks and bonds (1993)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Macroeconomics and Reality (1980)The federal funds rate and the channels of monetary transmission (1989)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Quarterly Journal of Economics (2024)The role of capital in financial institutions (1995)Collateral Damage: Effects of the Japanese Bank Crisis on Real Activity in the United States (2000)Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications (2012)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

  • 1986Economic Forces and the Stock Market5,258 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission4,205 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1966Mutual Fund Performance3,932 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1991The Credit Crunch1,340 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 2000Firm Size and Cyclical Variations in Stock Returns656 cited
  • 1997Inference in TAR Models636 cited
  • 1999Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?533 cited
  • 2006Instability of return prediction models

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476 cited

Cited by

  • 2016A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss28 cited
  • 2015Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector21 cited