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Temporary Components of Stock Prices: A Skeptic's View
16 references·16 citing·38 second hopsampled
Temporary Components of Stock Prices: A Skeptic's View (1993)Temporary Components of Stock Prices: A S…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesDividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence (1991)Mean Reversion in Stock Price…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Time-Variation in Expected Returns (1988)Time-Variation in Expected Re…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…Mean reversion in stock prices (1988)Mean reversion in stock pricesHow Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Dividend yields and expected stock returns (1988)Dividend yields and expected …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…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…Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Multivariate tests of financial models (1982)Multivariate tests of financi…History of the Efficient Market Hypothesis (2012)History of the Efficient Mark…Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2011)Natural Expectations, Macroec…Efficient Markets Hypothesis (2008)Efficient Markets HypothesisNonlinear mean reversion in stock prices (2007)Nonlinear mean reversion in s…Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003)Inference on Predictability o…A new historical database for the NYSE 1815 to 1925: Performance and predictability (2001)A new historical database for…THE EFFICIENT MARKET HYPOTHESIS: A SURVEY (2000)THE EFFICIENT MARKET HYPOTHES…A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability (2000)A New Historical Database for…Permanent, Temporary, and Non-Fundamental Components of Stock Prices (1998)Permanent, Temporary, and Non…Another look at long memory in common stock returns (1997)Another look at long memory i…11 Nonlinear time series, complexity theory, and finance (1996)11 Nonlinear time series, com…A search for long memory in international stock market returns (1995)A search for long memory in i…Bubbles, Stock Returns, and Duration Dependence (1994)Bubbles, Stock Returns, and D…Variations in economic uncertainty and risk premiums on capital assets (1993)Variations in economic uncert…Patterns in Three Centuries of Stock Market Prices (1993)Patterns in Three Centuries o…Long-Horizon Mean-Reverting Stock Prices Revisited (1992)Long-Horizon Mean-Reverting S…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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)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)Noise Trader Risk in Financial Markets (1990)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)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)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)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)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (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)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1987Expected stock returns and volatility4,147 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 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
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1987Are Output Fluctuations Transitory?811 cited
  • 1982Multivariate tests of financial models614 cited
  • 1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence469 cited
  • 1988Time-Variation in Expected Returns

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465 cited

Cited by

  • 1995A search for long memory in international stock market returns236 cited
  • 1994Bubbles, Stock Returns, and Duration Dependence173 cited
  • 2003Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models171 cited
  • 2011Natural Expectations, Macroeconomic Dynamics, and Asset Pricing153 cited
  • 1992Long-Horizon Mean-Reverting Stock Prices Revisited149 cited
  • 2001A new historical database for the NYSE 1815 to 1925: Performance and predictability135 cited
  • 2012History of the Efficient Market Hypothesis128 cited
  • 2008Efficient Markets Hypothesis126 cited
  • 1998Permanent, Temporary, and Non-Fundamental Components of Stock Prices122 cited
  • 1993Variations in economic uncertainty and risk premiums on capital assets113 cited
  • 2000A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability108 cited
  • 2000THE EFFICIENT MARKET HYPOTHESIS: A SURVEY98 cited
  • 1993Patterns in Three Centuries of Stock Market Prices89 cited
  • 1997Another look at long memory in common stock returns89 cited
  • 199611 Nonlinear time series, complexity theory, and finance86 cited
  • 2007Nonlinear mean reversion in stock prices83 cited