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Asymmetric temporary and permanent stock-price innovations

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  • Shively, Philip A.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 14 (2007)
    Issue (Month): 1 (January)
    Pages: 120-130

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    Handle: RePEc:eee:empfin:v:14:y:2007:i:1:p:120-130

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    Web page: http://www.elsevier.com/locate/jempfin

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    8. Pandey, Vivek & Kohers, Theodor & Kohers, Gerald, 1998. "Deterministic Nonlinearity in the Stock Returns of Major European Equity Markets and the United States," The Financial Review, Eastern Finance Association, vol. 33(1), pages 45-63, February.
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    23. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
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    25. Lee, Bong-Soo, 1995. "The Response of Stock Prices to Permanent and Temporary Shocks to Dividends," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 1-22, March.
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    29. Philip Shively, 2003. "International evidence of temporary and permanent stock-price innovations: a multivariate approach," Applied Economics Letters, Taylor and Francis Journals, vol. 10(8), pages 499-503.
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    35. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
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    38. Cochrane, John H, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 109(1), pages 241-65, February.
    39. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
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    Cited by:
    1. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183.

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