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Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model
12 references·16 citing·29 second hop
Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to Bad News in…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No news is good news (1992)No news is good newsARCH modeling in finance (1992)ARCH modeling in financeWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Expected stock returns and volatility (1987)Expected stock returns and vo…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…On estimating the expected return on the market (1980)On estimating the expected re…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)Deaths, Panic, Lockdowns and …The Relevance to Investors of Greenhouse Gas Emission Disclosures (2017)The Relevance to Investors of…Investor Attention and Stock Market Volatility (2014)Investor Attention and Stock …Oil shocks, policy uncertainty and stock market return (2013)Oil shocks, policy uncertaint…IPO first-day returns, offer price revisions, volatility, and form S-1 language (2013)IPO first-day returns, offer …Regime Changes and Financial Markets (2012)Regime Changes and Financial …‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables (2012)‘Déjà vol’: Predictive regres…The Determinants of Stock and Bond Return Comovements (2010)The Determinants of Stock and…Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2009)Equilibrium Portfolio Strateg…Ambiguity, Information Quality, and Asset Pricing (2008)Ambiguity, Information Qualit…The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …Style investing (2003)Style investingStock Valuation and Learning about Profitability (2003)Stock Valuation and Learning …Competing Theories of Financial Anomalies (2000)Competing Theories of Financi…Asset Pricing at the Millennium (2000)Asset Pricing at the Millenni…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)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)A Theory of the Term Structure of Interest Rates (1985)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1992No news is good news1,929 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited

Cited by

  • 2003Stock Valuation and Learning about Profitability1,002 cited
  • 2003Style investing971 cited
  • 2008Ambiguity, Information Quality, and Asset Pricing831 cited
  • 2005

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The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks
793 cited
  • 2000Asset Pricing at the Millennium734 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • 2014Investor Attention and Stock Market Volatility569 cited
  • 2013IPO first-day returns, offer price revisions, volatility, and form S-1 language541 cited
  • 2010The Determinants of Stock and Bond Return Comovements533 cited
  • 2013Oil shocks, policy uncertainty and stock market return505 cited
  • 2020Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic505 cited
  • 2017The Relevance to Investors of Greenhouse Gas Emission Disclosures495 cited
  • 2012‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables486 cited
  • 2000Competing Theories of Financial Anomalies468 cited
  • 2012Regime Changes and Financial Markets451 cited
  • 2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility428 cited