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Nonlinearity in the stock price–dividend relation
16 references·4 citing·38 second hop
Nonlinearity in the stock price–dividend relation (2005)Nonlinearity in the stock price–dividend …The Econometrics of Financial Markets (2012)The Econometrics of Financial…The econometrics of financial markets (1996)The econometrics of financial…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyLong-Run Economic Relationships (1991)Long-Run Economic Relationshi…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock prices, earnings, and expected dividends (1988)Stock prices, earnings, and e…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…Market Fundamentals versus Price-Level Bubbles: The First Tests (1980)Market Fundamentals versus Pr…A Cointegrated VAR Analysis of Stock Price Models: Fundamentals, Psychology and Structural Change (2019)A Cointegrated VAR Analysis o…Determinants of Share Price Movements in Bangladesh : Dividends and Retained Earnings (2009)Determinants of Share Price M…Parametric and nonparametric Granger causality testing: Linkages between international stock markets (2008)Parametric and nonparametric …Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model (2006)Bubbles in the dividend–price…Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Presidential Address: Discount Rates (2011)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 1996The econometrics of financial markets886 cited
  • 1991Long-Run Economic Relationships760 cited
  • 1988Stock prices, earnings, and expected dividends567 cited
  • 1980

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Market Fundamentals versus Price-Level Bubbles: The First Tests
544 cited

Cited by

  • 2006Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model52 cited
  • 2019A Cointegrated VAR Analysis of Stock Price Models: Fundamentals, Psychology and Structural Change32 cited
  • 2008Parametric and nonparametric Granger causality testing: Linkages between international stock markets28 cited
  • 2009Determinants of Share Price Movements in Bangladesh : Dividends and Retained Earnings22 cited