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Citations for "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?"

by Shiller, Robert J

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  1. Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
  2. Mark W. Watson, 1999. "Explaining the increased variability in long-term interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 71-96.
  3. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890, arXiv.org.
  4. Demary, Markus, 2009. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model /," Economics Discussion Papers 2009-47, Kiel Institute for the World Economy (IfW).
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  6. Wang, Xiao Lu & Shi, Kan & Fan, Hong Xia, 2006. "Psychological mechanisms of investors in Chinese Stock Markets," Journal of Economic Psychology, Elsevier, vol. 27(6), pages 762-780, December.
  7. Paul Beaudry & Franck Portier, 2004. "Stock Prices, News and Economic Fluctuations," NBER Chapters, in: Enhancing Productivity (NBER-CEPR-TCER-Keio conference) National Bureau of Economic Research, Inc.
  8. Mustafa Hattapoglu & Indrit Hoxha, 2014. "The Dependency of Rent-to-Price Ratio on Appreciation Expectations: An Empirical Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 185-204, August.
  9. Matthew D. Shapiro, 1988. "The Stabilization of the U.S. Economy: Evidence from the Stock Market," Cowles Foundation Discussion Papers 876, Cowles Foundation for Research in Economics, Yale University.
  10. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research.
  11. Lansing, Kevin J., 2016. "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, vol. 28(C), pages 132-148.
  12. Fusillo, Fabrizio, 2015. "Simulating Stock Markets: Risk-Aversion as a Cognitive Bias," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201527, University of Turin.
  13. 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.
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  15. Leonardo Bartolini & Lorenzo Giorgianni, 2000. "Excess volatility of exchange rates with unobservable fundamentals," Staff Reports 103, Federal Reserve Bank of New York.
  16. Eduardo Fernández-Arias & Davide Lombardo, 2001. "Market Discipline and Exuberant Foreign Borrowing," Working Papers Central Bank of Chile 122, Central Bank of Chile.
  17. Maher Kooli & Jean-Marc Suret, 2001. "The Aftermarket Performance of Initial Public Offerings in Canada," CIRANO Working Papers 2001s-52, CIRANO.
  18. Hommes, C.H., 2013. "Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria," CeNDEF Working Papers 13-17, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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  21. Lise Clain-Chamosset-Yvrard & Thomas Seegmuller, 2013. "The Stabilizing Virtues of Fiscal vs. Monetary Policy on Endogenous Bubble Fluctuations," Working Papers halshs-00854536, HAL.
  22. Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2013. "Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 572-591.
  23. Anusha Chari & Peter Blair Henry, 2004. "Is the Invisible Hand Discerning or Indiscriminate? Investment and Stock Prices in the Aftermath of Capital Account Liberalizations," NBER Working Papers 10318, National Bureau of Economic Research, Inc.
  24. Lise Clain-Chamosset-Yvrard & Thomas Seegmuller, 2013. "Rational Bubbles and Macroeconomic Fluctuations: The (De-)Stabilizing Role of Monetary Policy," Working Papers halshs-00793063, HAL.
  25. Velinov, Anton & Chen, Wenjuan, 2015. "Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis," Journal of Economics and Business, Elsevier, vol. 80(C), pages 1-20.
  26. Liu, Yi-Fang & Zhang, Wei & Xu, Chao & Vitting Andersen, Jørgen & Xu, Hai-Chuan, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 204-215.
  27. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
  28. Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
  29. Robert S. Pindyck & Julio J. Rotemberg, 1990. "Do Stock Prices Move Together Too Much?," NBER Working Papers 3324, National Bureau of Economic Research, Inc.
  30. Kearney, Colm & Daly, Kevin, 1997. "Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia," International Review of Financial Analysis, Elsevier, vol. 6(2), pages 77-95.
  31. 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.
  32. Alfonso Irarrazabal & Juan Carlos Parra-Alvarez, 2015. "Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis," CREATES Research Papers 2015-08, Department of Economics and Business Economics, Aarhus University.
  33. Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
  34. Edouard Challe, 2005. "Endogenous Participation Rick in Speculative Markets," Money Macro and Finance (MMF) Research Group Conference 2005 90, Money Macro and Finance Research Group.
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  38. Yihui Pan & Tracy Yue Wang & Michael S. Weisbach, 2015. "Learning About CEO Ability and Stock Return Volatility," Review of Financial Studies, Society for Financial Studies, vol. 28(6), pages 1623-1666.
  39. Olivier Davanne, 2004. "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 177-201.
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  44. Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan & Van De Velden, Henk, 2007. "Learning In Cobweb Experiments," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 8-33, November.
  45. 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.
  46. Feng, Xunan & Hu, Na & Johansson, Anders C., 2015. "Ownership, Analyst Coverage, and Stock Synchronicity in China," Stockholm School of Economics Asia Working Paper Series 2015-36, Stockholm China Economic Research Institute, Stockholm School of Economics.
  47. Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  48. Kevin J. Lansing, 2007. "Asset price bubbles," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct26.
  49. Jitka Veselá, 2011. "Factors of Occurrence of Speculative Bubbles on the Financial Markets," Český finanční a účetní časopis, University of Economics, Prague, vol. 2011(3), pages 6-21.
  50. Bhattacharya, Utpal, 2003. "The optimal design of Ponzi schemes in finite economies," Journal of Financial Intermediation, Elsevier, vol. 12(1), pages 2-24, January.
  51. Noussair, C.N. & Powell, O.R., 2008. "Peaks and Valleys : Experimental Asset Markets With Non-Monotonic Fundamentals," Discussion Paper 2008-49, Tilburg University, Center for Economic Research.
  52. Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.
  53. Laurent-Emmanuel Calvet, 2001. "Incomplete Markets and Volatility," Post-Print hal-00477462, HAL.
  54. 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.
  55. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
  56. Alexander Ludwig and Alexander Zimper, 2013. "Biased Bayesian Learning with an Application to the Risk-Free Rate Puzzle," Working Papers 390, Economic Research Southern Africa.
  57. James Bullard & George W. Evans & Seppo Honkapohja, 2005. "Near-Rational Exuberance," University of Oregon Economics Department Working Papers 2005-15, University of Oregon Economics Department, revised 18 Sep 2006.
  58. Polk, Christopher & Thompson, Samuel & Vuolteenaho, Tuomo, 2006. "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, Elsevier, vol. 81(1), pages 101-141, July.
  59. Nathan S. Balke & Mark E. Wohar, 2002. "Low-Frequency Movements in Stock Prices: A State-Space Decomposition," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 649-667, November.
  60. George A. Akerlof, 2002. "Behavioral Macroeconomics and Macroeconomic Behavior," American Economic Review, American Economic Association, vol. 92(3), pages 411-433, June.
  61. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
  62. Georgy Chabakauri, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
  63. Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
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  65. Robert S. Pindyck, 1983. "Risk, Inflation, and the Stock Market," NBER Working Papers 1186, National Bureau of Economic Research, Inc.
  66. Koji Kotani & Kenta Tanaka & Shunsuke Managi, 2014. "On the fundamental performance of a marketable permit system in a trader setting," Working Papers SDES-2014-2, Kochi University of Technology, School of Economics and Management, revised Oct 2014.
  67. Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, 04.
  68. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  69. Robert J. Shiller, 1980. "Alternative Tests of Rational Expectations Models: The Case of the Term Structure," NBER Working Papers 0563, National Bureau of Economic Research, Inc.
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  72. Mordecai Kurz & Maurizio Motolese, . "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
  73. Man Fu & Prasad V. Bidarkota, 2011. "Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 97, December.
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