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The value of the S&P 500--A macro view of the stock market adjustment process

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  • Chiarella, Carl
  • Gao, Shenhuai

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 15 (2004)
Issue (Month): 2 (August)
Pages: 171-196

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Handle: RePEc:eee:glofin:v:15:y:2004:i:2:p:171-196

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Web page: http://www.elsevier.com/locate/inca/620162

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References

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  1. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
  2. Hommes, C.H., 2000. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 00-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, American Finance Association, vol. 41(3), pages 529-43, July.
  4. Yikang, Li, 1998. "Low-pass filtered least squares estimators of cointegrating vectors," Journal of Econometrics, Elsevier, Elsevier, vol. 85(2), pages 289-316, August.
  5. R. Chiang & Ian Davidson & John Okunev, 1996. "Some Further Theoretical and Empirical Implications Regarding the Relationship between Earnings, Dividends and Returns," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 60, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Harry V. Roberts, 1959. "Stock‐Market “Patterns” And Financial Analysis: Methodological Suggestions," Journal of Finance, American Finance Association, American Finance Association, vol. 14(1), pages 1-10, 03.
  7. Barberis, Nicholas & Thaler, Richard, 2003. "A survey of behavioral finance," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 18, pages 1053-1128 Elsevier.
  8. Zhen Zhu, 1998. "The random walk of stock prices: evidence from a panel of G-7 countries," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(7), pages 411-413.
  9. James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
  10. Carl Chiarella & Shenhuai Gao, 2004. "Continuous Time Model Estimation," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 138, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  11. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(2), pages 246-73, April.
  12. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 34, pages 411.
  13. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  14. Gallagher, Liam A & Sarno, Lucio & Taylor, Mark P, 1997. "Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison," Scottish Journal of Political Economy, Scottish Economic Society, Scottish Economic Society, vol. 44(5), pages 566-82, November.
  15. Clive W. J. Granger, 2002. "Some comments on risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(5), pages 447-456.
  16. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  17. Cars H. Hommes, 2001. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute 01-014/1, Tinbergen Institute.
  18. Charles M. C. Lee & James Myers & Bhaskaran Swaminathan, 1999. "What is the Intrinsic Value of the Dow?," Journal of Finance, American Finance Association, American Finance Association, vol. 54(5), pages 1693-1741, October.
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Cited by:
  1. Rangan Gupta & Roula Inglesi-Lotz, 2012. "Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"," Working Papers, University of Pretoria, Department of Economics 201208, University of Pretoria, Department of Economics.
  2. Carl Chiarella & Shenhuai Gao, 2004. "Continuous Time Model Estimation," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 138, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

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