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Citations for "Variance Bounds Tests and Stock Price Valuation Models"

by Kleidon, Allan W

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  1. Patric Hendershott & Robert J. Hendershott & Bryan D. MacGregor, 2005. "Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique," NBER Working Papers 11329, National Bureau of Economic Research, Inc.
  2. Carlos, Ann M. & Moyen, Nathalie & Hill, Jonathan, 2002. "Royal African Company Share Prices during the South Sea Bubble," Explorations in Economic History, Elsevier, vol. 39(1), pages 61-87, January.
  3. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006. "Stock market volatiltity around national elections," MPRA Paper 302, University Library of Munich, Germany, revised Nov 2006.
  4. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
  5. Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
  6. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," Working Paper 2003-4, Federal Reserve Bank of Atlanta.
  7. Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
  8. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are exchange rates excessively volatile? And what does "excessively volatile" mean, anyway?," Research Paper 9601, Federal Reserve Bank of New York.
  9. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Intrinsic Bubbles: The Case of Stock Prices," American Economic Review, American Economic Association, vol. 81(5), pages 1189-214, December.
  10. Cohen, Ruben D, 2000. "The long-run behavior of the S&P Composite Price Index and its risk premium," MPRA Paper 3192, University Library of Munich, Germany.
  11. Terrance Odean, 1998. "Volume, Volatility, Price and Profit When All Traders Are Above Average," Finance 9803001, EconWPA.
  12. Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1991. "Stock Market Forecastability and Volatility: A Statistical Appraisal," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 455-77, May.
  13. Eugene N. White, 2004. "Bubbles and Busts: The 1990s in the Mirror of the 1920s," FRU Working Papers 2004/09, University of Copenhagen. Department of Economics. Finance Research Unit.
  14. Muhammad Farhan Malik & Muhammad Usman Qureshi & Muhammad Azeem, 2012. "Determination of Share Price: Evidence from Karachi Stock Exchange," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(43), pages 97-114, March.
  15. Nawazish Mirza & Ayesha Afzal, 2012. "Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 55-86, June.
  16. Lucy F. Ackert & William C. Hunter, 2000. "An empirical examination of the price-dividend relation with dividend management," Working Paper Series WP-00-22, Federal Reserve Bank of Chicago.
  17. Carol L. Osler, 1989. "Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis: A Theoretical Investigation," NBER Working Papers 3060, National Bureau of Economic Research, Inc.
  18. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  19. Barsky, Robert B & De Long, J Bradford, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, MIT Press, vol. 108(2), pages 291-311, May.
  20. R. Glen Donaldson & Mark Kamstra, . "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.
  21. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, EconWPA.
  22. Pan, Ming-Shiun, 2007. "Permanent and transitory components of earnings, dividends, and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(4), pages 535-549, September.
  23. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  24. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  25. Engel, Charles, 2005. "Some New Variance Bounds for Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 949-55, October.
  26. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  27. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
  28. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  29. Levine, Ross & Zervos, Sara, 1996. "Stock markets, banks, and economic growth," Policy Research Working Paper Series 1690, The World Bank.
  30. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," Swiss Finance Institute Research Paper Series 06-19, Swiss Finance Institute.
  31. Robert P. Flood & Robert J. Hodrick & Paul Kaplan, 1986. "An Evaluation of Recent Evidence on Stock Market Bubbles," NBER Working Papers 1971, National Bureau of Economic Research, Inc.
  32. Edward Bernard Bastiaan de Rivera y Rivera & Diógenes Manoel Leiva Martin & Emerson Fernandes Marçal & Leonardo Fernando Cruz Basso, 2012. "Present value model between prices and dividends with constant and time-varying expected returns: enterprise-level Brazilian stock market evidence from non-stationary panels," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 51-86, October.
  33. Smoluk, H. J., 1999. "Excess long real rate volatility," Journal of Multinational Financial Management, Elsevier, vol. 9(2), pages 155-176, March.
  34. Franklin Allen & Gary Gorton, 1991. "Rational Finite Bubbles," NBER Working Papers 3707, National Bureau of Economic Research, Inc.
  35. Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
  36. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
  37. B. Ravikumar & Enchuan Shao, 2010. "Search Frictions and Asset Price Volatility," Working Papers 10-1, Bank of Canada.
  38. Thomas A. Rietz, 1991. "Arbitrage," Discussion Papers 958, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  39. Andrew J. Patton & Michela Verardo, 2009. "Does beta move with news?: Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics 24421, London School of Economics and Political Science, LSE Library.
  40. Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
  41. Smoluk, H. J., 1999. "Domestic variance and international comovement bonds tests of interest rates," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 247-267, March.
  42. Nongnuch Tantisantiwong, 2004. "Theoretical moment restrictions of commodity prices," Money Macro and Finance (MMF) Research Group Conference 2004 19, Money Macro and Finance Research Group.
  43. Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," DOCUMENTOS DE TRABAJO-CIDSE 011028, UNIVERSIDAD DEL VALLE - CIDSE.
  44. Chris Brooks & Apostolos Katsaris, 2006. "Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?," ICMA Centre Discussion Papers in Finance icma-dp2006-07, Henley Business School, Reading University.
  45. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
  46. Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers 2000,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  47. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  48. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
  49. Voth, Hans-Joachim, 2002. "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers 3254, C.E.P.R. Discussion Papers.
  50. Margaret Bray & Giovanni Marseguerra, 2002. "Divdends and Equity Prices: The Variance Trade Off," FMG Discussion Papers dp413, Financial Markets Group.
  51. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
  52. Nandini Srivastava & Stephen Satchell, 2012. "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance 1209, Birkbeck, Department of Economics, Mathematics & Statistics.
  53. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
  54. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
  55. John Y. Campbell & Robert J. Shiller, 1988. "The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study," NBER Technical Working Papers 0067, National Bureau of Economic Research, Inc.
  56. Hossein Varamini & Svetlana Kalash, 2008. "Testing Market Efficiency for Different Market Capitalization Funds," American Journal of Business, Emerald Group Publishing, vol. 23(2), pages 17-26.
  57. Schotman, Peter C., 2001. "When units roots matter: excess volatility and excess smoothness of long-term interest rates," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 669-694, December.
  58. Crockett, Jean A., 1998. "Rational expectations, inflation and the nominal interest rate," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 349-363.
  59. Terrance Odean., 1996. "Volume, Volatility, Price and Profit When All Trader Are Above Average," Research Program in Finance Working Papers RPF-266, University of California at Berkeley.
  60. Marian Berneburg, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16, Halle Institute for Economic Research.
  61. Chung, Heetaik & Lee, Bong-Soo, 1998. "Fundamental and nonfundamental components in stock prices of Pacific-Rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 321-346, August.
  62. Akerlof, George A., 2001. "Behavioral Macroeconomics and Macroeconomic Behavior," Nobel Prize in Economics documents 2001-4, Nobel Prize Committee.
  63. Billmeier, Andreas & Massa, Isabella, 2008. "Go long or short in pyramids? News from the Egyptian stock market," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 949-970, December.
  64. J. Bradford De Long & Richard Grossman, 1992. "Excess Volatility on the London Stock Market, 1870-1990," J. Bradford De Long's Working Papers _133, University of California at Berkeley, Economics Department.
  65. Wihlborg, Clas, 1989. "The Incentive to Acquire Information and Financial Market Efficiency," Working Paper Series 218, Research Institute of Industrial Economics.
  66. Stephen F. LeRoy, 1990. "Capital market efficiency: an update," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-40.
  67. Saul Lach & Mark Schankerman, 1987. "The Interaction Between Capital Investment and R&D in Science-Based Firms," NBER Working Papers 2377, National Bureau of Economic Research, Inc.
  68. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, Reading University.
  69. Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, EconWPA.
  70. Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003. "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers 9515, National Bureau of Economic Research, Inc.
  71. Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
  72. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  73. Fukuta, Yuichi, 1996. "Rational bubbles and non-risk neutral investors in Japan," Japan and the World Economy, Elsevier, vol. 8(4), pages 459-473, December.
  74. Shiller, Robert J, 1989. " Comovements in Stock Prices and Comovements in Dividends," Journal of Finance, American Finance Association, vol. 44(3), pages 719-29, July.
  75. stanley c. w. salvary, 2005. "The Accounting Variable And Stock Price Determination," Finance 0502011, EconWPA.
  76. Eugene N. White & Peter Rappoport, 1994. "The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much?," NBER Working Papers 4627, National Bureau of Economic Research, Inc.
  77. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  78. Chen, Chung & Wu, Chunchi, 1999. "The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 29-58, January.