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Risk aversion, investor information and stock market volatility
16 references·7 citing·41 second hop
Risk aversion, investor information and stock market volatility (2014)Risk aversion, investor information and s…News shocks and business cycles (2011)News shocks and business cycl…Merton, Robert C. (2010)Merton, Robert C.The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …Asset Pricing: Revised Edition (2005)Asset Pricing: Revised EditionFrom Efficient Markets Theory to Behavioral Finance (2003)From Efficient Markets Theory…The Equity Premium (2002)The Equity PremiumRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Equity Premium Puzzle and…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …The equity premium: A puzzle (1985)The equity premium: A puzzleThe Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…The Determinants of the Variability of Stock Market Prices (1980)The Determinants of the Varia…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The macroeconomic effects of uncertainty and risk aversion shocks (2023)The macroeconomic effects of …Factors influencing Individual Investor Behaviour: Evidence from the Kuwait Stock Exchange (2019)Factors influencing Individua…A guide on empirical tests of the EMH (2019)A guide on empirical tests of…Top Incomes, Rising Inequality, and Welfare (2017)Top Incomes, Rising Inequalit…Endogenous Forecast Switching Near the Zero Lower Bound (2017)Endogenous Forecast Switching…Top Incomes, Rising Inequality, and Welfare (2016)Top Incomes, Rising Inequalit…House prices, expectations, and time-varying fundamentals (2014)House prices, expectations, a…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Efficient Capital Markets: II (1991)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)ARCH modeling in finance (1992)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Market stress and herding (2004)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Machine learning techniques and data for stock market forecasting: A literature review (2022)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting returns with financial ratios (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Dissecting green returns (2022)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Investor Psychology and Asset Pricing (2001)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2003From Efficient Markets Theory to Behavioral Finance1,825 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 2002The Equity Premium1,331 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle922 cited
  • 2010Merton, Robert C.812 cited
  • 2005Asset Pricing: Revised Edition718 cited
  • 2011News shocks and business cycles534 cited
  • 1980The Determinants of the Variability of Stock Market Prices

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511 cited

Cited by

  • 2014House prices, expectations, and time-varying fundamentals70 cited
  • 2019Factors influencing Individual Investor Behaviour: Evidence from the Kuwait Stock Exchange32 cited
  • 2019A guide on empirical tests of the EMH21 cited
  • 2017Top Incomes, Rising Inequality, and Welfare15 cited
  • 2023The macroeconomic effects of uncertainty and risk aversion shocks11 cited
  • 2017Endogenous Forecast Switching Near the Zero Lower Bound10 cited
  • 2016Top Incomes, Rising Inequality, and Welfare10 cited