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

  • Chiarella, Carl
  • Gao, Shenhuai

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File URL: http://www.sciencedirect.com/science/article/B6W4F-4D6784K-1/2/e66c91ba169f1ba0548c6c493a68bba2
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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  1. Carl Chiarella & Shenhuai Gao, 2004. "Continuous Time Model Estimation," Working Paper Series 138, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Charles M. C. Lee & James Myers & Bhaskaran Swaminathan, 1999. "What is the Intrinsic Value of the Dow?," Journal of Finance, American Finance Association, vol. 54(5), pages 1693-1741, October.
  3. repec:dgr:uvatin:20010014 is not listed on IDEAS
  4. 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.
  5. 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.
  6. Yikang, Li, 1998. "Low-pass filtered least squares estimators of cointegrating vectors," Journal of Econometrics, Elsevier, vol. 85(2), pages 289-316, August.
  7. Clive W. J. Granger, 2002. "Some comments on risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 447-456.
  8. Zhen Zhu, 1998. "The random walk of stock prices: evidence from a panel of G-7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 5(7), pages 411-413.
  9. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
  10. Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc.
  11. 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, vol. 1(1), pages 41-66.
  12. repec:dgr:uvatin:2001014 is not listed on IDEAS
  13. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
  15. C. H. Hommes, 2001. "Financial markets as nonlinear adaptive evolutionary systems," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
  16. Harry V. Roberts, 1959. "Stock‐Market “Patterns” And Financial Analysis: Methodological Suggestions," Journal of Finance, American Finance Association, vol. 14(1), pages 1-10, 03.
  17. Chiang, Raymond & Davidson, Ian & Okunev, John, 1997. "Some further theoretical and empirical implications regarding the relationship between earnings, dividends and stock prices," Journal of Banking & Finance, Elsevier, vol. 21(1), pages 17-35, January.
  18. 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, vol. 44(5), pages 566-82, November.
  19. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," The Journal of Business, University of Chicago Press, vol. 34, pages 411.
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