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Understanding Predictability
16 references·16 citing·39 second hopsampled
Understanding Predictability (2004)Understanding PredictabilityWhat Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …Dividends, Share Repurchases, and the Substitution Hypothesis (2002)Dividends, Share Repurchases,…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Financial flexibility and the choice between dividends and stock repurchases (2000)Financial flexibility and the…Asset Pricing at the Millennium (2000)Asset Pricing at the Millenni…Predictive regressions (1999)Predictive regressionsDo Industries Explain Momentum? (1999)Do Industries Explain Momentu…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Earnings and Expected Returns (1998)Earnings and Expected ReturnsThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Belief Dispersion in the Stock Market (2018)Belief Dispersion in the Stoc…Economic Policy Uncertainty in China and Stock Market Expected Returns (2016)Economic Policy Uncertainty i…Macroeconomic Drivers of Bond and Equity Risks (2014)Macroeconomic Drivers of Bond…Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Uncertainty, Time‐Varying Fea…Twin Picks: Disentangling the Determinants of Risk‐Taking in Household Portfolios (2013)Twin Picks: Disentangling the…Sequential Learning, Predictability, and Optimal Portfolio Returns (2013)Sequential Learning, Predicta…Asset Prices and Institutional Investors (2013)Asset Prices and Institutiona…The term structures of equity and interest rates (2011)The term structures of equity…Predictive Regressions: A Present‐Value Approach (2010)Predictive Regressions: A Pre…Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2010)Can Time-Varying Risk of Rare…Predictive Systems: Living with Imperfect Predictors (2009)Predictive Systems: Living wi…Predicting Global Stock Returns (2009)Predicting Global Stock Retur…Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2009)Equilibrium Portfolio Strateg…Risk, uncertainty, and asset prices (2008)Risk, uncertainty, and asset …Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2005)Why is Long-Horizon Equity Le…Expected returns and expected dividend growth (2005)Expected returns and expected…Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Optimum consumption and portfolio rules in a continuous-time model (1971)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)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)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1999Predictive regressions1,614 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2002Dividends, Share Repurchases, and the Substitution Hypothesis1,467 cited
  • 2000Financial flexibility and the choice between dividends and stock repurchases1,043 cited
  • 2002What Drives Firm‐Level Stock Returns?1,003 cited
  • 2000Asset Pricing at the Millennium734 cited

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1998
Earnings and Expected Returns
635 cited

Cited by

  • 2010Predictive Regressions: A Present‐Value Approach446 cited
  • 2013Uncertainty, Time‐Varying Fear, and Asset Prices442 cited
  • 2005Expected returns and expected dividend growth433 cited
  • 2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility428 cited
  • 2008Risk, uncertainty, and asset prices400 cited
  • 2013Asset Prices and Institutional Investors365 cited
  • 2010Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?349 cited
  • 2014Macroeconomic Drivers of Bond and Equity Risks320 cited
  • 2009Predictive Systems: Living with Imperfect Predictors307 cited
  • 2009Predicting Global Stock Returns306 cited
  • 2013Twin Picks: Disentangling the Determinants of Risk‐Taking in Household Portfolios304 cited
  • 2016Economic Policy Uncertainty in China and Stock Market Expected Returns262 cited
  • 2018Belief Dispersion in the Stock Market247 cited
  • 2013Sequential Learning, Predictability, and Optimal Portfolio Returns234 cited
  • 2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium229 cited
  • 2011The term structures of equity and interest rates221 cited