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Long-Horizon Mean-Reverting Stock Prices Revisited
16 references·16 citing·43 second hopsampled
Long-Horizon Mean-Reverting Stock Prices Revisited (1992)Long-Horizon Mean-Reverting Stock Prices …Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesTemporary Components of Stock Prices: A Skeptic's View (1993)Temporary Components of Stock…Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence (1991)Mean Reversion in Stock Price…Speculative Dynamics and the Role of Feedback Traders (1990)Speculative Dynamics and the …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Drawing inferences from statistics based on multiyear asset returns (1989)Drawing inferences from stati…A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market (1989)A Markov Model of Heteroskeda…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Expected stock returns and volatility (1987)Expected stock returns and vo…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Mean reversion in international stock markets: An empirical analysis of the 20th century (2011)Mean reversion in internation…The Poor Predictive Performance of Asset Pricing Models (2008)The Poor Predictive Performan…Efficient market hypothesis: evidence from a small open-economy (2008)Efficient market hypothesis: …Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests (2005)Mean reversion versus random …Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models (2005)Are OECD stock prices charact…Stock Returns and the Business Cycle (2004)Stock Returns and the Busines…Mean reversion of industry stock returns in the U.S., 1926–1998 (2004)Mean reversion of industry st…On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules (2001)On market efficiency of Asian…Mean reversion in Southeast Asian stock markets (1999)Mean reversion in Southeast A…Are there rational speculative bubbles in Asian stock markets? (1998)Are there rational speculativ…A threshold autoregressive analysis of stock returns and real economic activity (1997)A threshold autoregressive an…Expected Inflation, Interest Rates, and Stock Returns (1996)Expected Inflation, Interest …Information Asymmetry and Valuation Effects of Debt Financing (1995)Information Asymmetry and Val…A search for long memory in international stock market returns (1995)A search for long memory in i…A Unified Approach to Testing for Serial Correlation in Stock Returns (1994)A Unified Approach to Testing…Patterns in Three Centuries of Stock Market Prices (1993)Patterns in Three Centuries o…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market647 cited
  • 1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence469 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
  • 1990Speculative Dynamics and the Role of Feedback Traders454 cited
  • 1989Drawing inferences from statistics based on multiyear asset returns410 cited

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  • 1993Temporary Components of Stock Prices: A Skeptic's View212 cited
  • Cited by

    • 1995A search for long memory in international stock market returns236 cited
    • 2008The Poor Predictive Performance of Asset Pricing Models110 cited
    • 1998Are there rational speculative bubbles in Asian stock markets?106 cited
    • 1993Patterns in Three Centuries of Stock Market Prices89 cited
    • 2008Efficient market hypothesis: evidence from a small open-economy80 cited
    • 2005Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models78 cited
    • 2004Mean reversion of industry stock returns in the U.S., 1926–199876 cited
    • 1999Mean reversion in Southeast Asian stock markets72 cited
    • 1994A Unified Approach to Testing for Serial Correlation in Stock Returns64 cited
    • 2005Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests63 cited
    • 2001On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules60 cited
    • 2004Stock Returns and the Business Cycle58 cited
    • 2011Mean reversion in international stock markets: An empirical analysis of the 20th century57 cited
    • 1997A threshold autoregressive analysis of stock returns and real economic activity54 cited
    • 1995Information Asymmetry and Valuation Effects of Debt Financing48 cited
    • 1996Expected Inflation, Interest Rates, and Stock Returns45 cited