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Capital market efficiency and the predictability of daily returns
16 references·3 citing·39 second hop
Capital market efficiency and the predictability of daily returns (2006)Capital market efficiency and the predict…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Devil Take the Hindmost: A History of Financial Speculation (2000)Devil Take the Hindmost: A Hi…A Recursive Modelling Approach to Predicting UK Stock Returns (2000)A Recursive Modelling Approac…Devil take the hindmost: a history of financial speculation (1999)Devil take the hindmost: a hi…A non-random walk down Wall Street (1999)A non-random walk down Wall S…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…Predicting Stock Returns in an Efficient Market (1990)Predicting Stock Returns in a…Economic Significance of Predictable Variations in Stock Index Returns (1989)Economic Significance of Pred…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…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 …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Share Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency (2011)Share Price Reaction to Earni…Efficient markets hypothesis and daily variation in small Pacific‐basin stock markets (2010)Efficient markets hypothesis …Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty (2009)Asymmetric Volatility and Cro…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditioning Variables and the Cross Section of Stock Returns (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2012The Econometrics of Financial Markets5,875 cited
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  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1985Stock Returns and the Term Structure2,260 cited
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  • 1989Economic Significance of Predictable Variations in Stock Index Returns597 cited
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  • 2000A Recursive Modelling Approach to Predicting UK Stock Returns251 cited
  • 1999Devil take the hindmost: a history of financial speculation229 cited

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2000
Devil Take the Hindmost: A History of Financial Speculation
165 cited

Cited by

  • 2010Efficient markets hypothesis and daily variation in small Pacific‐basin stock markets25 cited
  • 2011Share Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency25 cited
  • 2009Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty22 cited