Learning and mean reversion in asset returns
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Handa, Puneet & Linn, Scott C., 1993. "Arbitrage Pricing with Estimation Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 81-100, March.
- Myung Jig Kim & Charles R. Nelson & Richard Startz, 1991.
"Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence,"
Review of Economic Studies,
Oxford University Press, vol. 58(3), pages 515-528.
- Myung Jig Kim & Charles R. Nelson & Richard Startz, 1988. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," NBER Working Papers 2795, National Bureau of Economic Research, Inc.
- 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.
- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- repec:cdl:ucsbec:13-89 is not listed on IDEAS
- Coles, Jeffrey L. & Loewenstein, Uri & Suay, Jose, 1995. "On Equilibrium Pricing under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 347-364, September.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
- Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 105(1), pages 1-28.
- Stephen Morris, 1996.
"Speculative Investor Behavior and Learning,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 111(4), pages 1111-1133.
- Stephen Morris, "undated". "Speculative Investor Behavior and Learning," Penn CARESS Working Papers d12f7936881423171f6589501, Penn Economics Department.
- Stephen Morris, "undated". ""Speculative Investor Behavior and Learning''," CARESS Working Papres 95-13, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- Stephen Morris, 1996. "Speculative investor behavior and learning," Working Papers 96-5, Federal Reserve Bank of Philadelphia.
- LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
- Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,"
American Economic Review,
American Economic Association, vol. 71(3), pages 421-436, June.
- 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.
- 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.
- Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lin, Shih-Kuei & Wang, Shin-Yun & Tsai, Pei-Ling, 2009. "Application of hidden Markov switching moving average model in the stock markets: Theory and empirical evidence," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 306-317, March.
- Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004.
"Equilibrium stock return dynamics under alternative rules of learning about hidden states,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 28(10), pages 1925-1954, September.
- Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001 41, Society for Computational Economics.
- Peter Benczur, 2001. "Learning, noise traders, the volatility and the level of bond spreads," IEHAS Discussion Papers 0114, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:quaeco:v:39:y:1999:i:4:p:529-545. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/620167 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.