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Citations for "Drawing inferences from statistics based on multiyear asset returns"

by Richardson, Matthew & Stock, James H.

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Jin Lee, 2007. "Fractionally Integrated Long Horizon Regressions," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1). [Downloadable!]
  3. Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Working Papers 97-10, Bank of Canada. [Downloadable!]
  4. Paresh Kumar Narayan & Russell Smyth, 2005. "Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(8), pages 547-556, May. [Downloadable!] (restricted)
  5. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
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  6. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA. [Downloadable!]
  7. Erik Hjalmarsson, 2008. "Interpreting long-horizon estimates in predictive regressions," International Finance Discussion Papers 928, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Kausik Chaudhuri & Yangru Wu, 2000. "Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets," Working Papers 2000-3, University of Sydney, Department of Economics. [Downloadable!]
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  9. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  10. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute. [Downloadable!]
  11. Lubos Pastor & Robert F. Stambaugh, 2009. "Are Stocks Really Less Volatile in the Long Run?," NBER Working Papers 14757, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September. [Downloadable!]
  13. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Robert F. Engle & Alex Kane & Jaesun Noh, 1993. "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," NBER Working Papers 4519, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  15. Walter Torous & Shu Yan, 2000. "Predictive Regressions Revisited," University of California at Los Angeles, Anderson Graduate School of Management 1028, Anderson Graduate School of Management, UCLA. [Downloadable!]
  16. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  17. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester. [Downloadable!]
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  18. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington. [Downloadable!]
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  19. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, Göteborg University, Department of Economics. [Downloadable!]
  20. Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers 932, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  21. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  22. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  23. John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  24. Tano Santos & Pietro Veronesi, 2000. "Labor Income and Predictable Stock Returns," CRSP working papers 520, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
  25. John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group. [Downloadable!]
  26. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics. [Downloadable!]
  27. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly," NBER Working Papers 11840, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  28. Jondeau, E. & Ricart, R., 1999. "The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?," Documents de Travail 61, Banque de France. [Downloadable!]
  29. R.-P. Berben & D.J.C. van Dijk, 1998. "Does the absence of cointegration explain the typical findings in long horizon regressions?," Econometric Institute Report 145, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  30. Groenendijk, Patrick A. & Lucas, Andr‚ & Vries, Casper G. de, 1997. "Stochastic processes, non-normal innovations, and the use of scaling ratios," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
  31. Nelson Manuel P.B.C. Areal & Manuel José Da Rocha Armada, 2002. "The long-horizon returns behaviour of the Portuguese stock market1," European Journal of Finance, Taylor and Francis Journals, vol. 8(1), pages 93-122, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-30.

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