Explaining the Variance of Price Dividend Ratios
Author
Abstract
Suggested Citation
Note: EFG
Download full text from publisher
Other versions of this item:
- Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-280.
References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Stephen F. LeRoy & William R. Parke, 1988. "Stock price volatility: an inequality test based on the geometric random walk," Proceedings, Federal Reserve Bank of San Francisco.
- Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1985.
"An Unbiased Reexamination of Stock Market Volatility,"
Journal of Finance, American Finance Association, vol. 40(3), pages 677-687, July.
- N. Gregory Mankiw & David Romer & Matthew D. Shapiro, 1985. "An Unbiased Reexamination of Stock Market Volatility," Cowles Foundation Discussion Papers 758, Cowles Foundation for Research in Economics, Yale University.
- West, Kenneth D, 1988.
"Dividend Innovations and Stock Price Volatility,"
Econometrica, Econometric Society, vol. 56(1), pages 37-61, January.
- Kenneth D. West, 1986. "Dividend Innovations and Stock Price Volatility," NBER Working Papers 1833, 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,"
The 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.
- LeRoy, Stephen F, 1984. "Efficiency and the Variability of Asset Prices," American Economic Review, American Economic Association, vol. 74(2), pages 183-187, May.
- Grossman, Sanford J & Shiller, Robert J, 1981.
"The Determinants of the Variability of Stock Market Prices,"
American Economic Review, American Economic Association, vol. 71(2), pages 222-227, May.
- S. Grossman & R. Shiller, "undated". "The Determinants of the Variability of Stock Market Price," Rodney L. White Center for Financial Research Working Papers 18-80, Wharton School Rodney L. White Center for Financial Research.
- Sanford J. Grossman & Robert J. Shiller, 1980. "The Determinants of the Variability of Stock Market Prices," NBER Working Papers 0564, National Bureau of Economic Research, Inc.
- 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 246-273, April.
- John Y. Campbell, Robert J. Shiller, 1988.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,"
The Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
- John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
- Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
- Cochrane, John H. & Sbordone, Argia M., 1988. "Multivariate estimates of the permanent components of GNP and stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 255-296.
- Marsh, Terry A & Merton, Robert C, 1986.
"Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices,"
American Economic Review, American Economic Association, vol. 76(3), pages 483-498, June.
- Marsh, Terry A. & Merton, Robert C., 1984. "Dividend variability and variance bounds tests for the rationality of stock market prices," Working papers 1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- repec:cdl:ucsbec:281 is not listed on IDEAS
- 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.
- Kenneth D. West, 1987.
"A Specification Test for Speculative Bubbles,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(3), pages 553-580.
- Kenneth D. West, 1986. "A Specification Test for Speculative Bubbles," NBER Working Papers 2067, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October.
- LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
- Refet S. Gürkaynak, 2008.
"Econometric Tests Of Asset Price Bubbles: Taking Stock,"
Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, February.
- Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, University Library of Munich, Germany.
- Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
- West, Kenneth D, 1988.
"Dividend Innovations and Stock Price Volatility,"
Econometrica, Econometric Society, vol. 56(1), pages 37-61, January.
- Kenneth D. West, 1986. "Dividend Innovations and Stock Price Volatility," NBER Working Papers 1833, National Bureau of Economic Research, Inc.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- Lansing, Kevin J., 2016. "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, vol. 28(C), pages 132-148.
- Lansing, Kevin J. & LeRoy, Stephen F., 2014. "Risk aversion, investor information and stock market volatility," European Economic Review, Elsevier, vol. 70(C), pages 88-107.
- John Y. Campbell & John Cochrane, 1999.
"Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
- John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
- John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
- John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Froot, Kenneth A & Obstfeld, Maurice, 1991.
"Intrinsic Bubbles: The Case of Stock Prices,"
American Economic Review, American Economic Association, vol. 81(5), pages 1189-1214, December.
- Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2005.
"Financial Markets and the Real Economy,"
Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- Akdeniz, Levent & Salih, Aslıhan Altay & Ok, Süleyman Tuluğ, 2007. "Are stock prices too volatile to be justified by the dividend discount model?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 433-444.
- Lucy Ackert & William Hunter, 2001.
"An Empirical Examination of the Price-Dividend Relation with Dividend Management,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(2), pages 115-129, April.
- 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.
- John Y. Campbell, 1996.
"Consumption and the Stock Market: Interpreting International Experience,"
Harvard Institute of Economic Research Working Papers
1763, Harvard - Institute of Economic Research.
- John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
- Campbell, John Y., 2003.
"Consumption-based asset pricing,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887,
Elsevier.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- 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.
- Cuthbertson, Keith & Hyde, Stuart, 2002. "Excess volatility and efficiency in French and German stock markets," Economic Modelling, Elsevier, vol. 19(3), pages 399-418, May.
- Crockett, Jean A., 1998. "Rational expectations, inflation and the nominal interest rate," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 349-363.
- Campbell, John Y., 2001.
"Why long horizons? A study of power against persistent alternatives,"
Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
- John Y. Campbell, 1993. "Why Long Horizons: A Study of Power Against Persistent Alternatives," NBER Technical Working Papers 0142, National Bureau of Economic Research, Inc.
- Campbell, John, 2001. "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles 3196341, Harvard University Department of Economics.
Corrections
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:nbr:nberwo:3157. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/nberrus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.