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Reconciling the Return Predictability Evidence
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Reconciling the Return Predictability Evidence (2006)Reconciling the Return Predictability Evi…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Efficient tests of stock return predictability☆ (2006)Efficient tests of stock retu…Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective (2005)Housing Collateral, Consumpti…Dividends, Share Repurchases, and the Substitution Hypothesis (2002)Dividends, Share Repurchases,…Stock Return Predictability: Is it There? (2001)Stock Return Predictability: …Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Consumption, Aggregate Wealth and Expected Stock Returns (1999)Consumption, Aggregate Wealth…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Predictable Stock Returns: The Role of Small Sample Bias (1993)Predictable Stock Returns: Th…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Dividend yields and expected stock returns (1988)Dividend yields and expected …Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A five-factor asset pricing model (2014)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Empirical Asset Pricing via Machine Learning (2020)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Industries Explain Momentum? (1999)The Stock Market Valuation of Research and Development Expenditures (2001)PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)The short of it: Investor sentiment and anomalies (2011)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Expected stock returns and volatility (1987)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
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References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 2002Dividends, Share Repurchases, and the Substitution Hypothesis1,467 cited
  • 2006Efficient tests of stock return predictability☆992 cited
  • 2001Stock Return Predictability: Is it There?897 cited
  • 1999Consumption, Aggregate Wealth and Expected Stock Returns686 cited
  • 1993Predictable Stock Returns: The Role of Small Sample Bias

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651 cited
  • 2005Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective637 cited
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