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Information Quality and Stock Returns Revisited
16 references·1 citing·41 second hop
Information Quality and Stock Returns Revisited (2010)Information Quality and Stock Returns Rev…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…State-Space Models with Regime Switching (1999)State-Space Models with Regim…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Consumption, Income, and Inte…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…The equity premium: A puzzle (1985)The equity premium: A puzzleDo 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…Mutual Fund Performance (1966)Mutual Fund PerformanceAsset pricing: A tale of two days (2014)Asset pricing: A tale of two …Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Book Review: Time Series Analysis: Forecasting and Control (1977)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Dynamic Asset Pricing Theory. (1993)Household Finance (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)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)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Noise Trader Risk in Financial Markets (1990)A Theory of the Term Structure of Interest Rates (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Determining the Number of Factors in Approximate Factor Models (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)
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References

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1,378 cited
  • 1999State-Space Models with Regime Switching1,304 cited
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    • 2014Asset pricing: A tale of two days346 cited