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Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis*
16 references·3 citing·41 second hopsampled
Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis* (2006)Asymmetric Stationarity in National Stock…The effects of bonus schemes on accounting decisions (2011)The effects of bonus schemes …The Efficient Market Hypothesis and Its Critics (2003)The Efficient Market Hypothes…From Efficient Markets Theory to Behavioral Finance (2003)From Efficient Markets Theory…Earnings management and investor protection: an international comparison (2003)Earnings management and inves…Earnings Management to Exceed Thresholds (1999)Earnings Management to Exceed…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Earnings management to avoid earnings decreases and losses (1997)Earnings management to avoid …Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…The New Issues Puzzle (1995)The New Issues PuzzleContrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Accounting earnings and cash flows as measures of firm performance (1994)Accounting earnings and cash …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Adaptive Market Hypothesis (2019)Adaptive Market HypothesisAdaptive Markets Hypothesis: Empirical Evidence from Montenegro Equity Market (2013)Adaptive Markets Hypothesis: …Dynamics of stock market integration between the US and the BRIC (2011)Dynamics of stock market inte…An Empirical Evaluation of Accounting Income Numbers (1968)Prospect theory: An analysis of decision under risk (1988)Earnings Management through Real Activities Manipulation (2003)The economic implications of corporate financial reporting (2005)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Prospect Theory: An Analysis of Decision under Risk (1979)Detecting Earnings Management. (1995)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The relationship between return and market value of common stocks (1981)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Survey of Corporate Governance (1997)Law and Finance (1998)Corporate Ownership Around the World (1999)International Accounting Standards and Accounting Quality (2008)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*23,066 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2003Earnings management and investor protection: an international comparison5,395 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1997Earnings management to avoid earnings decreases and losses3,839 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1999Earnings Management to Exceed Thresholds2,764 cited
  • 1994Accounting earnings and cash flows as measures of firm performance2,584 cited
  • 2011The effects of bonus schemes on accounting decisions2,579 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2003The Efficient Market Hypothesis and Its Critics

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2,179 cited
  • 2003From Efficient Markets Theory to Behavioral Finance1,998 cited
  • Cited by

    • 2019Adaptive Market Hypothesis21 cited
    • 2013Adaptive Markets Hypothesis: Empirical Evidence from Montenegro Equity Market18 cited
    • 2011Dynamics of stock market integration between the US and the BRIC18 cited