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Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation
16 references·16 citing·29 second hopsampled
Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation (1988)Bubbles, Fads and Stock Price Volatility …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…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 General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employm…R2 and Idiosyncratic Risk Are Not Interchangeable (2014)R2 and Idiosyncratic Risk Are…ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)ASSET PRICE BUBBLES IN INCOMP…Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Estimation of Agent-Based Mod…The Peso problem hypothesis and stock market returns (2003)The Peso problem hypothesis a…Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)Market Fluctuations I: Scalin…Chapter 20 Human behavior and the efficiency of the financial system (1999)Chapter 20 Human behavior and…Permanent, Temporary, and Non-Fundamental Components of Stock Prices (1998)Permanent, Temporary, and Non…A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of 1929’s Stock Crash (1996)A New Dividend Forecasting Pr…Bubbles, Stock Returns, and Duration Dependence (1994)Bubbles, Stock Returns, and D…A Microeconomic Approach to Diffusion Models For Stock Prices (1993)A Microeconomic Approach to D…The dynamics of speculative behaviour (1992)The dynamics of speculative b…Formally Testing the Present Value Model of Farmland Prices (1991)Formally Testing the Present …Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion (1991)Bubbles and Volatility of Sto…On Testing for Speculative Bubbles (1990)On Testing for Speculative Bu…BUBBLES AND FADS IN ASSET PRICES (1989)BUBBLES AND FADS IN ASSET PRI…Anomalies: A Mean-Reverting Walk Down Wall Street (1989)Anomalies: A Mean-Reverting W…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)The relationship between return and market value of common stocks (1981)Investor Psychology and Security Market Under‐ and Overreactions (1998)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Introduction: epistemic communities and international policy coordination (1992)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1936The General Theory of Employment, Interest and Money, by John Maynard Keynes6,220 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

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

    • 1990On Testing for Speculative Bubbles385 cited
    • 2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model350 cited
    • 1992The dynamics of speculative behaviour334 cited
    • 1989BUBBLES AND FADS IN ASSET PRICES294 cited
    • 1989Anomalies: A Mean-Reverting Walk Down Wall Street258 cited
    • 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS235 cited
    • 1999Chapter 20 Human behavior and the efficiency of the financial system212 cited
    • 1994Bubbles, Stock Returns, and Duration Dependence173 cited
    • 1996A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of 1929’s Stock Crash173 cited
    • 1991Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion163 cited
    • 1991Formally Testing the Present Value Model of Farmland Prices161 cited
    • 2014R2 and Idiosyncratic Risk Are Not Interchangeable153 cited
    • 1998Permanent, Temporary, and Non-Fundamental Components of Stock Prices122 cited
    • 1993A Microeconomic Approach to Diffusion Models For Stock Prices121 cited
    • 2003The Peso problem hypothesis and stock market returns119 cited
    • 2002Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins114 cited