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Citations for "Dividend yields and expected stock returns"

by Fama, Eugene F. & French, Kenneth R.

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  1. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, EconWPA.
  2. Goyal, Amit, 2004. "Demographics, Stock Market Flows, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(01), pages 115-142, March.
  3. Samson, Lucie & Diaw, Fatou, 1995. "Intégration des marchés boursiers d’Asie et des États-Unis," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(4), pages 481-497, décembre.
  4. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
  5. Sousa, Ricardo M., 2010. "Consumption, (dis)aggregate wealth, and asset returns," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 606-622, September.
  6. Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003. "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles 3163263, Harvard University Department of Economics.
  7. Rapach, David E. & Wohar, Mark E., 2006. "In-sample vs. out-of-sample tests of stock return predictability in the context of data mining," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 231-247, March.
  8. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2000. "Forecasting stock indices: a comparison of classification and level estimation models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 173-190.
  9. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  10. Nelson, C.R. & Kim, M.J., 1990. "Predictable Stock Returns: Reality Or Statistical Illusion?," Discussion Papers in Economics at the University of Washington 90-15, Department of Economics at the University of Washington.
  11. Koijen, Ralph & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
  12. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, School of Economics and Management, University of Aarhus.
  13. Spierdijk, Laura & Bikker, Jacob A. & van den Hoek, Pieter, 2012. "Mean reversion in international stock markets: An empirical analysis of the 20th century," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 228-249.
  14. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
  15. Angelos Kanas, 2009. "The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006," Journal of Economics and Finance, Springer, vol. 33(2), pages 111-127, April.
  16. Narayan, Paresh Kumar, 2008. "Do shocks to G7 stock prices have a permanent effect?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(4), pages 369-373.
  17. Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series WP2010-031, Boston University - Department of Economics.
  18. Fabian Baetje & Lukas Menkhoff, 2015. "Equity Premium Prediction: Are Economic and Technical Indicators Instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy.
  19. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers 11736, National Bureau of Economic Research, Inc.
  20. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
  21. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
  22. Campbell, John & Vuolteenaho, Tuomo, 2004. "Bad Beta, Good Beta," Scholarly Articles 3122489, Harvard University Department of Economics.
  23. Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," Documentos de Trabajo del ICAE 2013-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2013.
  24. Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc.
  25. Helmut Herwartz & Konstantin A. Kholodilin, 2014. "In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 15-31, 01.
  26. Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
  27. Hjalmarsson, Erik, 2010. "Predicting Global Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(01), pages 49-80, February.
  28. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc.
  29. Hahn, Jaehoon & Lee, Hangyong, 2006. "Interpreting the predictive power of the consumption-wealth ratio," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 183-202, March.
  30. repec:wyi:journl:002108 is not listed on IDEAS
  31. Joakim Westerlund & Paresh K Narayan, 2012. "Does the choice of estimator matter when forecasting returns?," Financial Econometics Series 2012_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  32. Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernando Fernández-Rodríguez, . "Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series," Working Papers 2002-01, FEDEA.
  33. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Businesss School.
  34. Amit Goyal & Ivo Welch, 1999. "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers amz2437, Yale School of Management, revised 01 Nov 2002.
  35. Kandel, Shmuel & Kuznitz, Arik, 2004. "A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion," CEPR Discussion Papers 4701, C.E.P.R. Discussion Papers.
  36. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  37. Biqing Cai & Jiti Gao, 2013. "Hermite Series Estimation in Nonlinear Cointegrating Models," Monash Econometrics and Business Statistics Working Papers 17/13, Monash University, Department of Econometrics and Business Statistics.
  38. Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "Three analyses of the firm size premium," Journal of Empirical Finance, Elsevier, vol. 7(2), pages 143-153, August.
  39. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 86(3), pages 724-758, December.
  40. Dennis R. Capozza & Paul J. Seguin, 1995. "Expectations, Efficiency, and Euphoria in the Housing Market," NBER Working Papers 5179, National Bureau of Economic Research, Inc.
  41. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
  42. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," CORE Discussion Papers 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  43. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
  44. N. Groenewold & P. Fraser, 1998. "Tests of Asset-pricing Models: How important is the IID-normal assumptions?," Economics Discussion / Working Papers 98-20, The University of Western Australia, Department of Economics.
  45. Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2002. "Luxury Goods and the Equity Premium," Working Papers 145, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics..
  46. Fletcher, Jonathan, 2001. "An examination of predictable risk and return in UK stock returns," Journal of Economics and Business, Elsevier, vol. 53(6), pages 527-546.
  47. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2007. "Accruals and Aggregate Stock Market Returns," MPRA Paper 5197, University Library of Munich, Germany.
  48. Julián Andrada-Félix & Fernando Fernández-Rodríguez & María Dolores García-Artiles & Simón Sosvilla-Rivero, . "An Empirical Evaluation of Non-Linear Trading Rules," Working Papers 2001-16, FEDEA.
  49. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, 03.
  50. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
  51. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  52. Yu, Chih-Hsien & Wu, Chunchi, 2001. "Economic sources of asymmetric cross-correlation among stock returns," International Review of Economics & Finance, Elsevier, vol. 10(1), pages 19-40.
  53. Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010. "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers 2010-09, School of Economics and Management, University of Aarhus.
  54. Mahmoud Botshekan & Andre Lucas, 2012. "Long-Term versus Short-Term Contingencies in Asset Allocation," Tinbergen Institute Discussion Papers 12-053/2/DSF34, Tinbergen Institute.
  55. Sílvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO.
  56. Yacine Ait-Sahalia, 1996. "Dynamic Equilibrium and Volatility in Financial Asset Markets," NBER Working Papers 5479, National Bureau of Economic Research, Inc.
  57. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
  58. Lansing, Kevin J., 2006. "Lock-In Of Extrapolative Expectations In An Asset Pricing Model," Macroeconomic Dynamics, Cambridge University Press, vol. 10(03), pages 317-348, June.
  59. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, issue Nov, pages 3-37.
  60. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
  61. Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
  62. Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
  63. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  64. Elliott, Keith & Marcato, Gianluca, 2011. "Alternative investments: return driving actors," ERES eres2011_151, European Real Estate Society (ERES).
  65. Robert D. Coleman, 2006. "Asset Pricing Simultaneities: Phases and Patterns," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 49-76, May.
  66. Frédéric Teulon, 2014. "Philosophie morale et économie," Working Papers 2014-307, Department of Research, Ipag Business School.
  67. Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22.
  68. Clemens Sialm, 2005. "Tax Changes and Asset Pricing: Time-Series Evidence," NBER Working Papers 11756, National Bureau of Economic Research, Inc.
  69. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
  70. 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.
  71. Donald Robertson & Stephen Wright, 2006. "Dividends, Total Cash Flow to Shareholders, and Predictive Return Regressions," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 91-99, February.
  72. Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.
  73. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  74. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
  75. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
  76. Pietro Dindo & Cees Diks, 2007. "Informational differences and learning in an asset market with boundedly rational agents," Working Papers wp07-06, Warwick Business School, Finance Group.
  77. Wong, Wing-Keung & Du, Jun & Chong, Terence Tai-Leung, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," Review of Applied Economics, Review of Applied Economics, vol. 1(2).
  78. Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis.
  79. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
  80. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
  81. Li, George, 2007. "Time-varying risk aversion and asset prices," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 243-257, January.
  82. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  83. Campbell, John Y, 1990. "Measuring the Persistence of Expected Returns," American Economic Review, American Economic Association, vol. 80(2), pages 43-47, May.
  84. Ravi Bansal & Magnus Dahlquist & Campbell R. Harvey, 2004. "Dynamic Trading Strategies and Portfolio Choice," NBER Working Papers 10820, National Bureau of Economic Research, Inc.
  85. Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim, 2014. "Predictable markets? A news-driven model of the stock market," MPRA Paper 58831, University Library of Munich, Germany.
  86. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
  87. Ekaterini Panopoulou & Koubouros, M. & Malliaropulos, D., 2005. "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Economics, Finance and Accounting Department Working Paper Series n1580505, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  88. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  89. Mahmoud Botshekan & Andre Lucas, 2012. "Long-Term versus Short-Term Contingencies in Asset Allocation," Tinbergen Institute Discussion Papers 12-053/2/DSF34, Tinbergen Institute.
  90. Lucy Ackert & William Hunter, 2001. "An Empirical Examination of the Price-Dividend Relation with Dividend Management," Journal of Financial Services Research, Springer, vol. 19(2), pages 115-129, April.
  91. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Working Papers 110, University of Milano-Bicocca, Department of Economics, revised 2007.
  92. Pástor, Luboš & Stambaugh, Robert F., 2007. "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers 6076, C.E.P.R. Discussion Papers.
  93. Frédérique Bec & Christian Gollier, 2008. "Assets returns volatility and investment horizon: The French case," THEMA Working Papers 2008-10, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  94. 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.
  95. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
  96. Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, 06.
  97. Elliott, Graham, 2011. "A control function approach for testing the usefulness of trending variables in forecast models and linear regression," Journal of Econometrics, Elsevier, vol. 164(1), pages 79-91, September.
  98. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing, vol. 3(1), pages 27-53, September.
  99. Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
  100. Campbell, John Y. & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
  101. Martin Lettau, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, 06.
  102. Campbell, John Y & Ammer, John, 1993. " What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
  103. Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
  104. Klaus Adam & Albert Marcet, 2011. "Booms and Busts in Asset Prices," CEP Discussion Papers dp1059, Centre for Economic Performance, LSE.
  105. John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc.
  106. Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
  107. Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
  108. Chiang, Raymond & Liu, Peter & Okunev, John, 1995. "Modelling mean reversion of asset prices towards their fundamental value," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1327-1340, November.
  109. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR).
  110. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City.
  111. Belén Nieto & Rosa Rodríguez, 2006. "The Consumption/Wealth and Book/Market Ratios in a Dynamic Asset Pricing Contex," Spanish Economic Review, Springer, vol. 8(3), pages 199-226, September.
  112. Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, School of Economics and Management, University of Aarhus.
  113. Ana Sequeira, 2013. "Predicting aggregate returns using valuation ratios out-of-sample," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  114. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 146(3), pages 573-589, September.
  115. Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2014. "Nonparametric estimation and inference for conditional density based Granger causality measures," Journal of Econometrics, Elsevier, vol. 180(2), pages 251-264.
  116. Trabelsi, Mohamed Ali, 2008. "Sur-réaction sur le marché tunisien des actions : une investigation empirique
    [Overreaction on the Tunisian stock market: an empirical test]
    ," MPRA Paper 26751, University Library of Munich, Germany.
  117. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 555-574.
  118. Alexander Stremme & Devraj Basu, 2005. "CAY Revisited: Can Optimal Scaling Resurrect the (C)CAPM?," Working Papers wp05-04, Warwick Business School, Finance Group.
  119. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
  120. Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc.
  121. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers dp605, Financial Markets Group.
  122. Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
  123. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  124. Zeynep Senyuz, 2011. "Factor analysis of permanent and transitory dynamics of the US economy and the stock market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 975-998, 09.
  125. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, EconWPA, revised 16 Nov 2001.
  126. Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc.
  127. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
  128. Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
  129. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, EconWPA.
  130. Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
  131. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
  132. Huang, I-Hsiang, 2011. "The cyclical behavior of the risk of value strategy: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 404-419, September.
  133. Andrés Felipe García-Suaza & Jose Eduardo Gómez González, . "A Simple Test of Momentum in Foreign Exchange Markets," Borradores de Economia 647, Banco de la Republica de Colombia.
  134. Tai, Chu-Sheng, 2003. "Are Fama-French and momentum factors really priced?," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 359-384, December.
  135. Häussler, Carolin, 2004. "Does Partnering Pay Off? - Stock Market Reactions to Inter-Firm Collaboration Announcements in Germany," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 14, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  136. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
  137. Nelson Mark & Donggyu Sul, 1998. "Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Working Papers 98-19, Ohio State University, Department of Economics.
  138. Malcolm Baker & Jeffrey Wurgler, 2000. "The Equity Share in New Issues and Aggregate Stock Returns," Journal of Finance, American Finance Association, vol. 55(5), pages 2219-2257, October.
  139. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
  140. Aiolfi, Marco & Favero, Carlo A., 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers 3997, C.E.P.R. Discussion Papers.
  141. Jim Clayton, 1998. "Further Evidence on Real Estate Market Efficiency," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 41-58.
  142. Brealey, Richard A. & Kwan, Sabrina, 1999. "Personal taxes and the time variation of stock returns - evidence from the UK," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1557-1577, November.
  143. Lin, Chien-Ting & Ho, Chia-Cheng & Hsieh, Hisn-Jung, 2009. "Market Psychology and Aggregate Stock Returns: Evidence from Australian Consumer Sentiment," Review of Applied Economics, Review of Applied Economics, vol. 5(1-2).
  144. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
  145. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  146. Swaminathan G. Badrinath & Stefano Gubellini, 2012. "Does conditional mutual fund outperformance exist?," Managerial Finance, Emerald Group Publishing, vol. 38(12), pages 1160-1183.
  147. Begoña Font Belaire, 2012. "Can the exchange rate, inflation and domestic risk factors be overlooked in international asset pricing?," Working Papers. Serie EC 2012-04, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  148. Martin D. Dietz & Christian Keuschnigg, 2003. "Corporate Income Tax Reform in Switzerland," University of St. Gallen Department of Economics working paper series 2003 2003-07, Department of Economics, University of St. Gallen.
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