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Permanent, Temporary, and Non-Fundamental Components of Stock Prices

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
1988Testing for a Unit Root in Time Series Regression19,288 cited
1985Does the Stock Market Overreact?7,569 cited
1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
1988Permanent and Temporary Components of Stock Prices3,036 cited
1988Stock Prices, Earnings, and Expected Dividends2,457 cited
1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
1987Cointegration and Tests of Present Value Models2,160 cited
1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
1981The Present-Value Relation: Tests Based on Implied Variance Bounds

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1,364 cited

1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited

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