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Drawing Inferences From Statistics Based on Multi-Year Asset Returns
0 references·16 citing·52 second hopsampled
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  • 1993The single family home in the investment portfolio181 cited
  • 2002Testing the Predictability of Stock Returns123 cited
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  • 2011The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity92 cited
  • 2007Nonlinear mean reversion in stock prices83 cited
  • 2015Cross-sectional return dispersion and the equity premium82 cited
  • 2000Labor Income and Predictable Stock Returns81 cited
  • 2011The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity65 cited
  • 2005Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?64 cited
  • 2001On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules60 cited
  • 2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns57 cited
  • 1994An analysis of real-estate risk using the present value model52 cited
  • 2003Efficient Tests of Stock Return Predictability51 cited

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  • 2005The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly50 cited
  • 2008Are Stocks Really Less Volatile in the Long Run?47 cited