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A mispricing model of stocks under asymmetric information
16 references·0 citing·35 second hop
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References

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  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
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  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,841 cited
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  • 1987Stochastic Differential Equations: An Introduction with Applications.4,034 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

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3,097 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 2004Lévy Processes and Stochastic Calculus2,055 cited
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