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Time-Variation in Expected Returns

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References

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1983Biases in computed returns771 cited
1966Some New Stock-Market Indexes538 cited
1987Stock returns and inflation426 cited

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Cited by

1991What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns400 cited
1997Return autocorrelation and institutional investors388 cited
1994A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns374 cited
1990Sources of value creation in acquisitions: An empirical investigation342 cited
1994Volume and Autocovariances in Short-Horizon Individual Security Returns330 cited
2009Predictive Systems: Living with Imperfect Predictors307 cited
1989BUBBLES AND FADS IN ASSET PRICES294 cited
1996Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns274 cited
1993Portfolio return autocorrelation266 cited
1990A Variance Decomposition for Stock Returns266 cited
1998The predictability of security returns with simple technical trading rules264 cited
2002Macroeconomic Factors Do Influence Aggregate Stock Returns235 cited
2003How rewarding is technical analysis? Evidence from Singapore stock market234 cited
2012Are Stocks Really Less Volatile in the Long Run?226 cited
1999Filter Rules Based on Price and Volume in Individual Security Overreaction220 cited
1997Parallels Between the Cross-Sectional Predictability of Stock and Country Returns219 cited