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Duration dependence in the US stock market cycle: a parametric approach
16 references·2 citing·43 second hop
Duration dependence in the US stock market cycle: a parametric approach (1995)Duration dependence in the US stock marke…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesLong-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Business Cycle Duration Dependence: A Parametric Approach (1991)Business Cycle Duration Depen…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…A Nonparametric Investigation of Duration Dependence in the American Business Cycle (1990)A Nonparametric Investigation…The Stabilization of the U.S. Economy Evidence From the Stock Market (1988)The Stabilization of the U.S.…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesDividend yields and expected stock returns (1988)Dividend yields and expected …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Job Duration, Seniority, and Earnings (1986)Job Duration, Seniority, and …THE MONTE CARLO CYCLE IN BUSINESS ACTIVITY (1975)THE MONTE CARLO CYCLE IN BUSI…Investment Analysis and Portfolio Management. (1969)Investment Analysis and Portf…Board of Governors of the Federal Reserve System (1941)Board of Governors of the Fed…A duration analysis of the time from prospectus to listing for Australian initial public offerings (2008)A duration analysis of the ti…Duration dependence testing for speculative bubbles (2004)Duration dependence testing f…Interactions between the Multiplier Analysis and the Principle of Acceleration (1939)Recent Work on Business Cycles in Historical Perspective: Review of Theories and Evidence (1984)How Big Is the Random Walk in GNP? (1988)Booms and Slumps in World Commodity Prices (1999)Duration Dependence in Stock Prices (2004)Financial Cycles: What? How? When? (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Oil prices and the stock prices of alternative energy companies (2007)Job Matching and the Theory of Turnover (1979)Why Is There Mandatory Retirement? (1979)A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data (1984)Do Workers Prefer Increasing Wage Profiles? (1991)Property and contract rights in autocracies and democracies (1996)Industry‐Specific Capital and the Wage Profile: Evidence from the National Longitudinal Survey of Youth and the Panel Study of Income Dynamics (2000)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)
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References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1986Job Duration, Seniority, and Earnings527 cited
  • 1990A Nonparametric Investigation of Duration Dependence in the American Business Cycle227 cited
  • 1991Financial Investment Opportunities and the Macroeconomy225 cited
  • 1969Investment Analysis and Portfolio Management.188 cited
  • 1991Business Cycle Duration Dependence: A Parametric Approach137 cited
  • 1975THE MONTE CARLO CYCLE IN BUSINESS ACTIVITY57 cited
  • 1988The Stabilization of the U.S. Economy Evidence From the Stock Market49 cited
  • 1941Board of Governors of the Federal Reserve System

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Cited by

  • 2004Duration dependence testing for speculative bubbles33 cited
  • 2008A duration analysis of the time from prospectus to listing for Australian initial public offerings15 cited