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Nonstationary expected returns · Study

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ArticleNonstationary expected returns

Ray Ball1989

Article1989

Nonstationary expected returns

Ray Ball · S.P. Kothari

475 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1985Does the Stock Market Overreact?1981The relationship between return and market value of common stocks 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 1987Expected stock returns and volatility 1983The market for corporate control 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

Cited by

2007The New Issues Puzzle: Testing the Investment-Based Explanation 1994Behavioral Capital Asset Pricing Theory 2003Predicting stock price movements from past returns: the role of consistency and tax-loss selling 2000Profitability of Momentum Strategies in the International Equity Markets 1995Good News, Bad News, Volatility, and Betas 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

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Details

Year1989

Typearticle

Published1989-11-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations475

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(89)90096-2

openalex_workW1580611202

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1994The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence

1995Chapter 13 Financial decision-making in markets and firms: A behavioral perspective