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Nonstationary expected returns
16 references·16 citing·32 second hopsampled
Nonstationary expected returns (1989)Nonstationary expected returnsThe Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…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…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Expected stock returns and volatility (1987)Expected stock returns and vo…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The market for corporate control (1983)The market for corporate cont…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…The relationship between return and market value of common stocks (1981)The relationship between retu…On estimating the expected return on the market (1980)On estimating the expected re…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Properties of implied cost of capital using analysts’ forecasts (2011)Properties of implied cost of…Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008)Momentum Profits, Factor Pric…The New Issues Puzzle: Testing the Investment-Based Explanation (2007)The New Issues Puzzle: Testin…Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2006)Asymmetries in Stock Returns:…Predicting stock price movements from past returns: the role of consistency and tax-loss selling (2003)Predicting stock price moveme…Contrarian and momentum strategies in the China stock market: 1993–2000 (2002)Contrarian and momentum strat…The specification of conditional expectations (2001)The specification of conditio…Profitability of Momentum Strategies in the International Equity Markets (2000)Profitability of Momentum Str…Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies (2000)Mean Reversion across Nationa…Measuring investment distortions arising from stockholder–bondholder conflicts (1999)Measuring investment distorti…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Problems in measuring portfolio performance An application to contrarian investment strategies (1995)Problems in measuring portfol…Good News, Bad News, Volatility, and Betas (1995)Good News, Bad News, Volatili…Chapter 13 Financial decision-making in markets and firms: A behavioral perspective (1995)Chapter 13 Financial decision…The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence (1994)The Cross-Section of Realized…Behavioral Capital Asset Pricing Theory (1994)Behavioral Capital Asset Pric…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Users of the world, unite! The challenges and opportunities of Social Media (2009)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)Markets and Hierarchies: Analysis and Antitrust Implications. (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Separation of Ownership and Control (1983)Management ownership and market valuation (1988)Agency Theory: An Assessment and Review (1989)A Survey of Corporate Governance (1997)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Introductory Econometrics for Finance (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1983The market for corporate control4,145 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited

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

1987
Further Evidence On Investor Overreaction and Stock Market Seasonality
2,374 cited

Cited by

  • 2007The New Issues Puzzle: Testing the Investment-Based Explanation485 cited
  • 1994Behavioral Capital Asset Pricing Theory465 cited
  • 2003Predicting stock price movements from past returns: the role of consistency and tax-loss selling449 cited
  • 2000Profitability of Momentum Strategies in the International Equity Markets446 cited
  • 1995Good News, Bad News, Volatility, and Betas406 cited
  • 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation391 cited
  • 1994The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence391 cited
  • 1995Chapter 13 Financial decision-making in markets and firms: A behavioral perspective383 cited
  • 2001The specification of conditional expectations382 cited
  • 2008Momentum Profits, Factor Pricing, and Macroeconomic Risk380 cited
  • 1995Problems in measuring portfolio performance An application to contrarian investment strategies368 cited
  • 2000Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies358 cited
  • 1999Measuring investment distortions arising from stockholder–bondholder conflicts336 cited
  • 2002Contrarian and momentum strategies in the China stock market: 1993–2000324 cited
  • 1998Optimal Investment, Growth Options, and Security Returns319 cited
  • 2011Properties of implied cost of capital using analysts’ forecasts311 cited