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A cross-section test of the present value model

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  • Bulkley, George
  • Taylor, Nick

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  • Bulkley, George & Taylor, Nick, 1996. "A cross-section test of the present value model," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 295-306, February.
  • Handle: RePEc:eee:empfin:v:2:y:1996:i:4:p:295-306
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    References listed on IDEAS

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    1. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
    2. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-676, July.
    3. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    4. Nelson, Charles R & Kim, Myung J, 1993. " Predictable Stock Returns: The Role of Small Sample Bias," Journal of Finance, American Finance Association, vol. 48(2), pages 641-661, June.
    5. Bulkley, George & Tonks, Ian, 1989. "Are U.K. Stock Prices Excessively Volatile? Trading Rules and Variance Bounds Tests," Economic Journal, Royal Economic Society, vol. 99(398), pages 1083-1098, December.
    6. West, Kenneth D, 1988. " Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation," Journal of Finance, American Finance Association, vol. 43(3), pages 639-656, July.
    7. Robert B. Barsky & J. Bradford De Long, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, Oxford University Press, vol. 108(2), pages 291-311.
    8. Allan G. Timmermann, 1993. "How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 108(4), pages 1135-1145.
    9. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
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    Cited by:

    1. Rambaccussing, Dooruj, 2010. "A real-time trading rule," MPRA Paper 27148, University Library of Munich, Germany.
    2. Dooruj Rambaccussing, 2015. "Revisiting Shiller’s excess volatility hypothesis," Dundee Discussion Papers in Economics 287, Economic Studies, University of Dundee.
    3. Rambaccussing, Dooruj, 2015. "Revisiting Shiller’s excess volatility hypothesis," SIRE Discussion Papers 2015-82, Scottish Institute for Research in Economics (SIRE).
    4. Rambaccussing, Dooruj, 2015. "Revisiting Shiller's excess volatility hypothesis," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-33, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Rambaccussing, Dooruj, 2015. "Revisiting Shiller's excess volatility hypothesis," SIRE Discussion Papers 2015-33, Scottish Institute for Research in Economics (SIRE).
    6. Rambaccussing, Dooruj, 2015. "Revisiting Shiller’s excess volatility hypothesis," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-82, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Rambaccussing, Dooruj, 2009. "Exploiting price misalignements," MPRA Paper 27147, University Library of Munich, Germany.

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