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Permanent, Temporary, and Non-Fundamental Components of Stock Prices

Citations

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Cited by:

  1. Pan, Ming-Shiun, 2007. "Permanent and transitory components of earnings, dividends, and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(4), pages 535-549, September.
  2. N. Groenewold, 2000. "Fundamental Share Prices and Aggregate Real Output," Economics Discussion / Working Papers 00-05, The University of Western Australia, Department of Economics.
  3. Patricia Fraser & Nicolaas Groenewold, 2004. "US share prices and real demand and supply shocks," Money Macro and Finance (MMF) Research Group Conference 2003 31, Money Macro and Finance Research Group.
  4. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
  5. Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003. "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, vol. 55(2), pages 177-195.
  6. 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.
  7. 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.
  8. Tian Zhao, 2012. "Firm size, information acquisition and price efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1599-1614, October.
  9. Helmut Herwartz & Leonardo Morales-Arias, 2009. "In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors," The European Journal of Finance, Taylor & Francis Journals, vol. 15(1), pages 1-28.
  10. 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.
  11. Samih Antoine Azar, 2004. "Excess volatility in the US stock market: evidence to the contrary," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1307-1311.
  12. Agiakloglou, Christos & Gkouvakis, Michalis, 2012. "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012 60387, International Telecommunications Society (ITS).
  13. Anton Velinov & Wenjuan Chen, 2014. "Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks," Discussion Papers of DIW Berlin 1375, DIW Berlin, German Institute for Economic Research.
  14. Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
  15. Ghassan Omet & Mohammad Khasawneh & Jamal Khasawneh, 2002. "Efficiency tests and volatility effects: evidence from the Jordanian stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 9(12), pages 817-821.
  16. Man Fu & Prasad V. Bidarkota, 2011. "Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors," JRFM, MDPI, vol. 4(1), pages 1-36, December.
  17. Ying Huang & Feng Guo, 2008. "Macro shocks and the Japanese stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(17), pages 1391-1400.
  18. Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008. "International nonlinear causality between stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 663-686.
  19. Lee, Bong-Soo & Ko, Kwangsoo, 2014. "Are Japanese short sellers information detectives?," Journal of the Japanese and International Economies, Elsevier, vol. 34(C), pages 89-97.
  20. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 298-315, June.
  21. Nicolaas Groenewold, 2004. "Fundamental share prices and aggregate real output," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 651-661.
  22. Gwangheon Hong & Bong Lee, 2013. "Does Inflation Illusion Explain the Relation between REITs and Inflation?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 123-151, July.
  23. Agiakloglou, Christos & Gkouvakis, Michail, 2015. "Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 150-159.
  24. Michael Fung, 2013. "A trade-off between non-fundamental risk and incentives," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 29-51, July.
  25. Binswanger, Mathias, 2004. "How do stock prices respond to fundamental shocks?," Finance Research Letters, Elsevier, vol. 1(2), pages 90-99, June.
  26. Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003. "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 345-367.
  27. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.
  28. Zhong, Maosen & Darrat, Ali F. & Anderson, Dwight C., 2003. "Do US stock prices deviate from their fundamental values? Some new evidence," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 673-697, April.
  29. Lee, Bong-Soo & Ko, Kwangsoo, 2016. "Are Japanese margin buyers informed?," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 47-53.
  30. Miyakoshi, Tatsuyoshi & Tsukuda, Yoshihiko & Shimada, Junji, 2016. "Magnitudes of Market Inefficiency: Theory and Application," Japan and the World Economy, Elsevier, vol. 39(C), pages 23-36.
  31. Anton Velinov, 2013. "Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes," Discussion Papers of DIW Berlin 1350, DIW Berlin, German Institute for Economic Research.
  32. Dewandaru, Ginanjar & Rizvi, Syed Aun & Sarkar, Kabir & Bacha, Obiyathulla & Masih, Mansur, 2014. "How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries," MPRA Paper 59587, University Library of Munich, Germany.
  33. G. Lim, 2005. "Bounded dividends, earnings and fundamental stock values," Empirical Economics, Springer, vol. 30(2), pages 411-426, September.
  34. Uddin, Gazi Salah & Hasan, Md. Bokhtiar & Phoumin, Han & Taghizadeh-Hesary, Farhad & Ahmed, Ali & Troster, Victor, 2023. "Exploring the critical demand drivers of electricity consumption in Thailand," Energy Economics, Elsevier, vol. 125(C).
  35. Binswanger, Mathias, 2004. "How important are fundamentals?--Evidence from a structural VAR model for the stock markets in the US, Japan and Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 185-201, April.
  36. Fraser, Patricia & Groenewold, Nicolaas, 2006. "US share prices and real supply and demand shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 149-167, February.
  37. K. Hafsal & S. Raja Sethu Durai, 2023. "Fundamental and bubble spillovers in stock markets: a common trend approach," SN Business & Economics, Springer, vol. 3(3), pages 1-17, March.
  38. Juho Kanniainen, 2009. "Can properly discounted projects follow geometric Brownian motion?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 435-450, December.
  39. Velinov, Anton, 2016. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," VfS Annual Conference 2016 (Augsburg): Demographic Change 145581, Verein für Socialpolitik / German Economic Association.
  40. Stefan Avdjiev & Nathan Balke, 2010. "Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations," BIS Working Papers 323, Bank for International Settlements.
  41. Allen, D.E & Yang, W, 2004. "Do UK stock prices deviate from fundamentals?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 373-383.
  42. Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2021. "Does cash-flow news play a better role than discount-rate news? Evidence from global regional stock markets," Journal of International Money and Finance, Elsevier, vol. 110(C).
  43. Patricia Fraser & Nicolaas Groenewold, 2003. "US Share Prices and Real Supply and Demand Shocks," Economics Discussion / Working Papers 03-19, The University of Western Australia, Department of Economics.
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