IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

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

by Robert J. Shiller

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window


  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. Zhigang Feng & Matthew Hoelle, 2017. "Indeterminacy in stochastic overlapping generations models: real effects in the long run," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 559-585, February.
  3. Shiller, Robert J., 1981. "Alternative tests of rational expectations models : The case of the term structure," Journal of Econometrics, Elsevier, vol. 16(1), pages 71-87, May.
  4. B. Ravikumar & Enchuan Shao, 2005. "Search Frictions and Asset Price Volatility," 2005 Meeting Papers 227, Society for Economic Dynamics.
  5. Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
  6. Robert S. Pindyck & Julio J. Rotemberg, 1990. "Do Stock Prices Move Together Too Much?," NBER Working Papers 3324, National Bureau of Economic Research, Inc.
  7. repec:spr:jqecon:v:15:y:2017:i:2:d:10.1007_s40953-016-0054-3 is not listed on IDEAS
  8. Roger E.A. Farmer, 2016. "Pricing Assets in an Economy with Two Types of People," NBER Working Papers 22228, National Bureau of Economic Research, Inc.
  9. Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," Working Papers 2012/02, Nottingham Trent University, Nottingham Business School, Economics Division.
  10. Gilchrist, Simon & Leahy, John V., 2002. "Monetary policy and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 75-97, January.
  11. Randi Naes & Johannes A. Skjeltorp, 2003. "Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets," Working Paper 2003/9, Norges Bank.
  12. Anthony Heyes & Matthew Neidell & Soodeh Saberian, 2016. "The Effect of Air Pollution on Investor Behavior: Evidence from the S&P 500," NBER Working Papers 22753, National Bureau of Economic Research, Inc.
  13. Wisniewski, Tomasz Piotr, 2016. "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 15-23.
  14. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 16, December.
  15. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk-Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, 06.
  16. Challe, Edouard, 2004. "Sunspots and predictable asset returns," Journal of Economic Theory, Elsevier, vol. 115(1), pages 182-190, March.
  17. Refet S. Gürkaynak, 2008. "Econometric Tests Of Asset Price Bubbles: Taking Stock ," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, 02.
  18. Drobyshevsky Sergey & Narkevich Sergey & E. Pikulina & D. Polevoy, 2009. "Analysis Of a Possible Bubble On the Russian Real Estate Market," Research Paper Series, Gaidar Institute for Economic Policy, issue 128.
  19. Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V., 2013. "Asset price dynamics with heterogeneous beliefs and local network interactions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2623-2642.
  20. Pindyck, Robert S, 1984. "Risk, Inflation, and the Stock Market," American Economic Review, American Economic Association, vol. 74(3), pages 335-351, June.
  21. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006. "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 115-123.
  22. Shiller, Robert J, 1989. " Comovements in Stock Prices and Comovements in Dividends," Journal of Finance, American Finance Association, vol. 44(3), pages 719-729, July.
  23. Londoño Yarce, Juan Miguel & Regúlez Castillo, Marta & Vázquez Pérez, Jesús, 2014. "An Alternative View of the US Price-Dividend Ratio Dynamics," DFAEII Working Papers DFAEII;2014-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  24. Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
  25. Bosi, Stefano & Seegmuller, Thomas, 2010. "On rational exuberance," Mathematical Social Sciences, Elsevier, vol. 59(2), pages 249-270, March.
  26. Miao, Jianjun, 2014. "Introduction to economic theory of bubbles," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 130-136.
  27. Michael Ehrmann & David-Jan Jansen, 2016. "It Hurts (Stock Prices) When Your Team is about to Lose a Soccer Match," Review of Finance, European Finance Association, vol. 20(3), pages 1215-1233.
  28. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
  29. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
  30. Fredj Jawadi & Georges Prat, 2012. "Arbitrage costs and nonlinear adjustment in the G7 stock markets," Applied Economics, Taylor & Francis Journals, vol. 44(12), pages 1561-1582, April.
  31. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
  32. Behzad T. Diba & Herschel I. Grossman, 1983. "Rational Asset Price Bubbles," NBER Working Papers 1059, National Bureau of Economic Research, Inc.
  33. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, 09.
  34. Doncho Donev, 2016. "Applying the stock evaluation models on the Bulgarian stock market," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 109-124.
  35. repec:eee:ecmode:v:64:y:2017:i:c:p:312-321 is not listed on IDEAS
  36. Hirota, Shinichi & Sunder, Shyam, 2007. "Price bubbles sans dividend anchors: Evidence from laboratory stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1875-1909, June.
  37. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, 03.
  38. 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.
  39. Malcolm Sawyer, 1999. "The Kaleckian Analysis and the New Millennium," Review of Political Economy, Taylor & Francis Journals, vol. 11(3), pages 303-319.
  40. Shapiro, Matthew D, 1988. "The Stabilization of the U.S. Economy: Evidence from the Stock Marke t," American Economic Review, American Economic Association, vol. 78(5), pages 1067-1079, December.
  41. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
  42. 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.
  43. John Goodell & Richard Bodey, 2012. "Price-earnings changes during US presidential election cycles: voter uncertainty and other determinants," Public Choice, Springer, vol. 150(3), pages 633-650, March.
  44. 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.
  45. Wisniewski, Tomasz Piotr & Yekini, Liafisu Sina, 2014. "Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly," MPRA Paper 58107, University Library of Munich, Germany.
  46. Huo, T. -M., 1996. "Monetary confidence and asset prices," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 363-376.
  47. Gelain, Paolo & Lansing, Kevin J., 2014. "House prices, expectations, and time-varying fundamentals," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 3-25.
  48. Cars Hommes, 2013. "Reflexivity, expectations feedback and almost self-fulfilling equilibria: economic theory, empirical evidence and laboratory experiments," Journal of Economic Methodology, Taylor & Francis Journals, vol. 20(4), pages 406-419, December.
  49. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  50. Pataracchia, B., 2011. "Ambiguity and Volatility : Asset Pricing Implications," Discussion Paper 2011-042, Tilburg University, Center for Economic Research.
  51. Challe, Edouard, 2008. "Endogenous participation risk in speculative markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2148-2164, July.
  52. Alain Cohn & Jan Engelmann & Ernst Fehr & Michel André Maréchal, 2015. "Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals," American Economic Review, American Economic Association, vol. 105(2), pages 860-885, February.
  53. Mehmet Balcilar & Rangan Gupta & Nico Frederick Katzke, 2015. "Identifying Periods of US Housing Market Explosivity," Working Papers 15-03, Eastern Mediterranean University, Department of Economics.
  54. Bohl, Martin T. & Essid, Badye & Siklos, Pierre L., 2012. "Do short selling restrictions destabilize stock markets? Lessons from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 198-206.
  55. Ithurbide, Philippe, 1987. "Le marché de l’or et les bulles rationnelles," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(4), pages 331-356, décembre.
  56. Kasa, Kenneth, 2001. "A robust Hansen-Sargent prediction formula," Economics Letters, Elsevier, vol. 71(1), pages 43-48, April.
  57. Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, 2001. "Returns And Interest Rate: A Nonlinear Relationship In The Bogota Stock Market," BORRADORES DE ECONOMIA 003468, BANCO DE LA REPÚBLICA.
  58. repec:hal:journl:halshs-00144659 is not listed on IDEAS
  59. repec:lan:wpaper:52032583 is not listed on IDEAS
  60. repec:eee:intfor:v:33:y:2017:i:3:p:569-580 is not listed on IDEAS
  61. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
  62. Ko, K. Jeremy & (James) Huang, Zhijian, 2007. "Arrogance can be a virtue: Overconfidence, information acquisition, and market efficiency," Journal of Financial Economics, Elsevier, vol. 84(2), pages 529-560, May.
  63. Lim, Kian-Ping & Kim, Jae H., 2011. "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, vol. 28(5), pages 2228-2238, September.
  64. Essaddam, Naceur & Karagianis, John M., 2014. "Terrorism, country attributes, and the volatility of stock returns," Research in International Business and Finance, Elsevier, vol. 31(C), pages 87-100.
  65. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, EconWPA.
  66. Stephen R. Bond & Jason G. Cummins, 2004. "Uncertainty and investment: an empirical investigation using data on analysts' profits forecasts," Finance and Economics Discussion Series 2004-20, Board of Governors of the Federal Reserve System (U.S.).
  67. Bullard, James & Duffy, John, 2001. "Learning And Excess Volatility," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 272-302, April.
  68. Joseph L. Pagliari, Jr. & James R. Webb, 1995. "A Fundamental Examination of Securitized and Unsecuritized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 381-426.
  69. Alessandro, CITANNA & SCHMEDDERS, Karl, 2002. "Controlling price volatility through financial innovation," Les Cahiers de Recherche 749, HEC Paris.
  70. Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, 08.
  71. Lux, Thomas, 2008. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Kiel Working Papers 1424, Kiel Institute for the World Economy (IfW).
  72. Paudyal, Krishna & Saldanha, Liesl, 1997. "Stock returns and volatility in two regime markets: International evidence," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 209-228.
  73. Paolo Gelain & Kevin J. Lansing & Caterina Mendicino, 2013. "House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 219-276, June.
  74. Karen K. Lewis, 1994. "Puzzles in International Financial Markets," NBER Working Papers 4951, National Bureau of Economic Research, Inc.
  75. Tahlee Stone, 2016. "The Sensitivity of Personal Income to GDP Growth," RBA Bulletin, Reserve Bank of Australia, pages 1-9, December.
  76. Thesmar , David & Landier , Augustin, 2014. "Instabilities in Large Economies: Aggregate Volatility Without Idiosyncratic Shocks," Les Cahiers de Recherche 1052, HEC Paris.
  77. Dai, Meixing & Sidiropoulos, Moïse, 2005. "Flexibility in inflation targeting, financial markets and macroeconomic stability," MPRA Paper 13864, University Library of Munich, Germany.
  78. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
  79. Willem H. Buiter, 2003. "James Tobin: An Appreciation of his Contribution to Economics," Economic Journal, Royal Economic Society, vol. 113(491), pages 585-631, November.
  80. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  81. repec:spr:reaccs:v:22:y:2017:i:2:d:10.1007_s11142-017-9395-1 is not listed on IDEAS
  82. Philippe Bracke, 2015. "House Prices and Rents: Microevidence from a Matched Data Set in Central London," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(2), pages 403-431, 06.
  83. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
  84. Klaus Gugler & Dennis C. Mueller & B. Burcin Yurtoglu, 2001. "Corporate Governance, Capital MarketDiscipline and the Returns on Investment," CIG Working Papers FS IV 01-25, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
  85. Margaret Bray & Giovanni Marseguerra, 2002. "Divdends and Equity Prices: The Variance Trade Off," FMG Discussion Papers dp413, Financial Markets Group.
  86. Buckley, Winston & Long, Hongwei & Marshall, Mario, 2016. "Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets," European Journal of Operational Research, Elsevier, vol. 252(2), pages 676-686.
  87. Eduardo Fernández-Arias & Davide Lombardo, 2002. "Market Discipline and Exuberant Foreign Borrowing," Central Banking, Analysis, and Economic Policies Book Series,in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 11, pages 333-360 Central Bank of Chile.
  88. Thomas Philippon, 2009. "The Bond Market's q," The Quarterly Journal of Economics, Oxford University Press, vol. 124(3), pages 1011-1056.
  89. Schwert, G. William, 2003. "Anomalies and market efficiency," 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 15, pages 939-974 Elsevier.
  90. Campbell, Gareth, 2010. "Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania," MPRA Paper 21821, University Library of Munich, Germany.
  91. repec:eee:intfin:v:49:y:2017:i:c:p:74-87 is not listed on IDEAS
  92. Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
  93. Drees, Burkhard & Eckwert, Bernhard, 1995. "The composition of stock price indices and the excess volatility puzzle," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 29-36.
  94. Albuquerque, Rui & Eichenbaum, Martin & Papanikolaou, Dimitris & Rebelo, Sergio, 2015. "Long-run bulls and bears," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 21-36.
  95. Airaudo, Marco & Cardani, Roberta & Lansing, Kevin J., 2013. "Monetary policy and asset prices with belief-driven fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1453-1478.
  96. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
  97. Sarris, Alexander, 0. "Food commodity price volatility and food insecurity," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), issue 3.
  98. 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.
  99. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  100. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
  101. Sadka, Gil & Sadka, Ronnie, 2009. "Predictability and the earnings-returns relation," Journal of Financial Economics, Elsevier, vol. 94(1), pages 87-106, October.
  102. Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen, 2013. "Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test," Working Papers 201360, University of Pretoria, Department of Economics.
  103. Kulish, Vladimir V., 2008. "Market efficiency and the phase-lagging model of the price evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(4), pages 861-875.
  104. Guo, Hui, 2004. "Limited Stock Market Participation and Asset Prices in a Dynamic Economy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 495-516, September.
  105. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58.
  106. Lise Clain-Chamosset-Yvrard & Thomas Seegmuller, 2013. "The Stabilizing Virtues of Fiscal vs. Monetary Policy on Endogenous Bubble Fluctuations," Working Papers halshs-00854536, HAL.
  107. Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013. "Detecting bubbles in Hong Kong residential property market," Journal of Asian Economics, Elsevier, vol. 28(C), pages 115-124.
  108. Per Krusell & Toshihiko Mukoyama & Ayşegül Şahin, 2010. "Labour-Market Matching with Precautionary Savings and Aggregate Fluctuations," Review of Economic Studies, Oxford University Press, vol. 77(4), pages 1477-1507.
  109. Ruediger Bachmann & Christian Bayer, 2009. "Firm-Specific Productivity Risk over the Business Cycle: Facts and Aggregate Implications," 2009 Meeting Papers 869, Society for Economic Dynamics.
  110. Cassano, Mark A., 1999. "Learning and mean reversion in asset returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(4), pages 529-545.
  111. Maurizio Bovi, 2005. "Consumers Sentiment and Cognitive Macroeconometrics Paradoxes and Explanations," Macroeconomics 0512002, EconWPA.
  112. Sasidharan, Anand, 2009. "Structural Changes in India's Stock Markets' Efficiency," MPRA Paper 19501, University Library of Munich, Germany, revised Dec 2009.
  113. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
  114. repec:ipg:wpaper:36 is not listed on IDEAS
  115. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
  116. Uribe, Jorge & Fernández, Julián, 2014. "Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, issue 81, pages 57-90, April.
  117. Wilson Sy, 2009. "Towards a national default option for low-cost superannuation," Accounting Research Journal, Emerald Group Publishing, vol. 22(1), pages 46-67, July.
  118. repec:sbe:breart:v:31:y:2011:i:1:a:3895 is not listed on IDEAS
  119. David Peón & Anxo Calvo, 2012. "Using Behavioral Economics to Analyze Credit Policies in the Banking Industry," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 145-160.
  120. 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.
  121. Allen, Franklin & Gale, Douglas, 1995. "A welfare comparison of intermediaries and financial markets in Germany and the US," European Economic Review, Elsevier, vol. 39(2), pages 179-209, February.
  122. Carlo Zappia, 2012. "Re-reading Keynes after the crisis: probability and decision," Department of Economics University of Siena 646, Department of Economics, University of Siena.
  123. Vojtěch Fiala & Svatopluk Kapounek & Ondřej Veselý, 2015. "Impact of Social Media on the Stock Market: Evidence from Tweets," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 1(1), pages 24-35, November.
  124. Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016. "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
  125. Francis X. Diebold & Kamil Yılmaz, 2007. "Macroeconomic Volatility and Stock Market Volatility,World-Wide," Koç University-TUSIAD Economic Research Forum Working Papers 0711, Koc University-TUSIAD Economic Research Forum.
  126. Bacchetta, Philippe & van Wincoop, Eric, 2013. "Sudden spikes in global risk," Journal of International Economics, Elsevier, vol. 89(2), pages 511-521.
  127. 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.
  128. Behzad T. Diba & Herschel I. Grossman, 1985. "Rational Bubbles in Stock Prices?," NBER Working Papers 1779, National Bureau of Economic Research, Inc.
  129. 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.
  130. Cashin, Paul & McDermott, C John, 2002. "Intertemporal Consumption Smoothing and Capital Mobility: Evidence from Australia," Australian Economic Papers, Wiley Blackwell, vol. 41(1), pages 82-98, March.
  131. Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014. "Option-Based Credit Spreads," NBER Working Papers 20776, National Bureau of Economic Research, Inc.
  132. 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.
  133. Campbell, Gareth, 2012. "Myopic rationality in a Mania," Explorations in Economic History, Elsevier, vol. 49(1), pages 75-91.
  134. Foerster, Stephen R. & Sapp, Stephen G., 2011. "Back to fundamentals: The role of expected cash flows in equity valuation," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 320-343.
  135. Engel, Charles, 2005. "Some New Variance Bounds for Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 949-955, October.
  136. Garrett H. TeSelle, 1998. "Bubbles or noise? Reconciling the results of broad-dividend variance-bounds tests," Finance and Economics Discussion Series 1998-42, Board of Governors of the Federal Reserve System (U.S.).
  137. Shimizu, Chihiro, 2014. "How Are Property Investment Returns Determined? : Estimating the Micro-Structure of Asset Prices, Property Income, and Discount Rates," HIT-REFINED Working Paper Series 12, Institute of Economic Research, Hitotsubashi University.
  138. Heemeijer, Peter & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2009. "Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1052-1072, May.
  139. Pakes, Ariel, 1985. "On Patents, R&D, and the Stock Market Rate of Return," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 390-409, April.
  140. Jeffrey A. Frankel & James H. Stock, 1983. "A Relationship Between Regression Tests and Volatility Tests of Market ncy," NBER Working Papers 1105, National Bureau of Economic Research, Inc.
  141. Craig W. Holden & Avanidhar Subrahmanyam, 2002. "News Events, Information Acquisition, and Serial Correlation," The Journal of Business, University of Chicago Press, vol. 75(1), pages 1-32, January.
  142. Richard Zeckhauser & Jayendu Patel & Darryll Hendricks, 1991. "Nonrational Actors and Financial Market Behavior," NBER Working Papers 3731, National Bureau of Economic Research, Inc.
  143. Matthijs Lof, 2015. "Rational Speculators, Contrarians, and Excess Volatility," Management Science, INFORMS, vol. 61(8), pages 1889-1901, August.
  144. Roger Farmer, 2014. "Asset Prices in a Lifecycle Economy," NBER Working Papers 19958, National Bureau of Economic Research, Inc.
  145. in ׳t Veld, Daan, 2016. "Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 45-67.
  146. Sonnemans, Joep & Tuinstra, Jan, 2010. "Positive expectations feedback experiments and number guessing games as models of financial markets," Journal of Economic Psychology, Elsevier, vol. 31(6), pages 964-984, December.
  147. Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003. "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers 9515, National Bureau of Economic Research, Inc.
  148. Douch, Mohamed, 2004. "Equity Premiums In Small Open Economy," MPRA Paper 14613, University Library of Munich, Germany.
  149. Lux, Thomas, 2009. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Journal of Economic Behavior & Organization, Elsevier, vol. 72(2), pages 638-655, November.
  150. Berneburg, Marian, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16/2006, Halle Institute for Economic Research (IWH).
  151. Berneburg, Marian, 2007. "Systematic Mispricing in European Equity Prices?," IWH Discussion Papers 6/2007, Halle Institute for Economic Research (IWH).
  152. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-676, July.
  153. Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016. "Stock Market Volatility and Learning," Journal of Finance, American Finance Association, vol. 71(1), pages 33-82, 02.
  154. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, Elsevier.
  155. 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.
  156. Bjuggren, Per-Olof & Wiberg, Daniel, 2005. "Industry Specific Effects in Investment Performance and Valuation of Firms - Marginal q in a Stock Market Bubble," Working Paper Series in Economics and Institutions of Innovation 45, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  157. Djeutem, Edouard & Kasa, Kenneth, 2013. "Robustness and exchange rate volatility," Journal of International Economics, Elsevier, vol. 91(1), pages 27-39.
  158. Feldman, Robert A & Kumar, Manmohan S, 1995. "Emerging Equity Markets: Growth, Benefits, and Policy Concerns," World Bank Research Observer, World Bank Group, vol. 10(2), pages 181-200, August.
  159. Tran, Ngoc-Khanh & Zeckhauser, Richard J., 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs Are Heterogeneous," Working Paper Series rwp11-026, Harvard University, John F. Kennedy School of Government.
  160. repec:eee:ecmode:v:64:y:2017:i:c:p:322-333 is not listed on IDEAS
  161. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  162. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
  163. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  164. Sato, Yuki, 2016. "Delegated portfolio management, optimal fee contracts, and asset prices," Journal of Economic Theory, Elsevier, vol. 165(C), pages 360-389.
  165. Jeeman Jung & Robert J. Shiller, 2002. "One Simple Test of Samuelson's Dictum for the Stock Market," Cowles Foundation Discussion Papers 1386, Cowles Foundation for Research in Economics, Yale University.
  166. Ravi Bansal & Amir Yaron, 2004. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," Journal of Finance, American Finance Association, vol. 59(4), pages 1481-1509, 08.
  167. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
  168. Maurizio Bovi, 2008. "The “Psycho-analysis” of Common People’s Forecast Errors. Evidence from European Consumer Surveys," ISAE Working Papers 95 Classification-JEL C42, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  169. Mariana Mazzucato & Massimiliano Tancioni, 2005. "Innovation and Idiosyncratic Risk," Computing in Economics and Finance 2005 81, Society for Computational Economics.
  170. Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Wohar, Mark E., 2016. "Periodically collapsing bubbles in the South African stock market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 191-201.
  171. John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
  172. Angela Black & Patricia Fraser & Martin Hoesli, 2005. "House Prices, Fundamentals and Inflation," FAME Research Paper Series rp129, International Center for Financial Asset Management and Engineering.
  173. Alan Kirman, 2014. "Is it rational to have rational expectations?," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 13(1), pages 29-48, June.
  174. Muhammad Farhan Malik & Muhammad Usman Qureshi & Muhammad Azeem, 2012. "Determination of Share Price: Evidence from Karachi Stock Exchange," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(43), pages 97-114, March.
  175. 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.
  176. Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2007. "Industry and time specific deviations from fundamental values in a random coefficient model," Annals of Finance, Springer, vol. 3(2), pages 257-276, March.
  177. Carol L. Osler, 1989. "Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis: A Theoretical Investigation," NBER Working Papers 3060, National Bureau of Economic Research, Inc.
  178. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.
  179. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
  180. Tarek A. Hassan & Thomas M. Mertens, 2017. "The Social Cost of Near-Rational Investment," American Economic Review, American Economic Association, vol. 107(4), pages 1059-1103, April.
  181. Suárez-García, Pablo & Gómez-Ullate, David, 2014. "Multifractality and long memory of a financial index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 226-234.
  182. repec:eee:dyncon:v:80:y:2017:i:c:p:101-124 is not listed on IDEAS
  183. Rotheli, Tobias F., 1998. "Pattern recognition and procedurally rational expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 37(1), pages 71-90, September.
  184. Jaroslav Bukovina, 2015. "Sentiment and blue-chip returns. Firm level evidence from a dynamic threshold model," MENDELU Working Papers in Business and Economics 2015-53, Mendel University in Brno, Faculty of Business and Economics.
  185. Glaeser, Edward L. & Gyourko, Joseph & Saiz, Albert, 2008. "Housing supply and housing bubbles," Journal of Urban Economics, Elsevier, vol. 64(2), pages 198-217, September.
  186. Bejan, Camelia & Bidian, Florin, 2010. "Limited enforcement, bubbles and trading in incomplete markets," MPRA Paper 36819, University Library of Munich, Germany, revised 20 Feb 2012.
  187. Benos, Evangelos & Jochec, Marek, 2013. "Patriotic name bias and stock returns," Journal of Financial Markets, Elsevier, vol. 16(3), pages 550-570.
  188. Alonso-Rivera, Angélica & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2014. "Impact of Monetary Policy on Financial Markets Efficiency and Speculative Bubbles: A Non-linear Entropy-based Approach," MPRA Paper 56127, University Library of Munich, Germany.
  189. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2008. "Stock market volatility around national elections," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1941-1953, September.
  190. Boudoukh, Jacob & Richardson, Matthew & Shen, YuQing (Jeff) & Whitelaw, Robert F., 2007. "Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market," Journal of Financial Economics, Elsevier, vol. 83(2), pages 397-412, February.
  191. Ait-Sahalia, Yacine, 1998. "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, vol. 84(1), pages 93-127, May.
  192. 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.
  193. Zervou, Anastasia S., 2013. "Financial market segmentation, stock market volatility and the role of monetary policy," European Economic Review, Elsevier, vol. 63(C), pages 256-272.
  194. Pyo, Dong-Jin, 2014. "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers Archive 37358, Iowa State University, Department of Economics.
  195. Committee, Nobel Prize, 2017. "Richard H. Thaler: Integrating Economics with Psychology," Nobel Prize in Economics documents 2017-1, Nobel Prize Committee.
  196. Nelson, C.R. & Kim, M.J., 1990. "Predictable Stock Returns: Reality Or Statistical Illusion?," Working Papers 90-15, University of Washington, Department of Economics.
  197. Bradley Jones, 2014. "Identifying Speculative Bubbles; A Two-Pillar Surveillance Framework," IMF Working Papers 14/208, International Monetary Fund.
  198. Antonio Zoratto Sanvicente & Renato Teles Delgado, 2010. "Learning Theory and Equity Valuation: an Empirical Analysis," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(2), pages 113-139.
  199. Gilbert Colletaz, 1987. "Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils ?," Revue Économique, Programme National Persée, vol. 38(4), pages 837-852.
  200. Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2012. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," NBER Working Papers 18647, National Bureau of Economic Research, Inc.
  201. Ian Tonks & Andy Snell & George Bulkley, 1996. "Excessive Dispersion of US Stock Prices: A Regression Test of Cross-Sectional Volatility," FMG Discussion Papers dp246, Financial Markets Group.
  202. KevinJ. Lansing, 2010. "Rational and Near-Rational Bubbles Without Drift," Economic Journal, Royal Economic Society, vol. 120(549), pages 1149-1174, December.
  203. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
  204. Harissis H. & Mesomeris S. & Staikouras S., 2001. "Long-Term Trends and Short-Run Dynamics in International Stock Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 103-120, July - De.
  205. Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2015. "Investment Horizons and Price Indeterminacy in Financial Markets," Cowles Foundation Discussion Papers 2001, Cowles Foundation for Research in Economics, Yale University.
  206. Hull, Matthew & McGroarty, Frank, 2014. "Do emerging markets become more efficient as they develop? Long memory persistence in equity indices," Emerging Markets Review, Elsevier, vol. 18(C), pages 45-61.
  207. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
  208. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
  209. 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.
  210. 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.
  211. Guillaume Vuillemey & Etienne Wasmer, 2016. "Frictional Unemployment and Stochastic Bubbles," Sciences Po publications 10265, Sciences Po.
  212. 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.
  213. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, C.E.P.R. Discussion Papers.
  214. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047, 05.
  215. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992)
    [The "rational expectations hypothesis": theory and reality (a guided tour
    ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
  216. Fernando Fernandez-Rodriguez & Maria-Dolores Garcia-Artiles & Juan Manuel Martin-Gonzalez, 2002. "A model of speculative behaviour with a strange attractor," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(3), pages 143-161.
  217. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, Elsevier.
  218. Eric Leeper & James Nason, 2014. "Bringing Financial Stability into Monetary Policy," Caepr Working Papers 2014-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  219. Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016. "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper 71631, University Library of Munich, Germany.
  220. Salois, Matthew & Moss, Charles, 2010. "An Information Approach to the Dynamics in Farm Income: Implications for Farmland Markets," MPRA Paper 26850, University Library of Munich, Germany.
  221. Anufriev, Mikhail & Panchenko, Valentyn, 2009. "Asset prices, traders' behavior and market design," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
  222. John Krainer, 2002. "Stock market volatility," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct25.
  223. Christian Walter, 2004. "Volatilité boursière excessive : irrationalité des comportements ou clivage des esprits ?," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 85-104.
  224. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, vol. 68(2), pages 161-199, May.
  225. Richard W. Kopcke, 1992. "Profits and stock prices: the importance of being earnest," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 26-44.
  226. 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.
  227. Nathan S. Balke & Mark E. Wohar, 2001. "Explaining stock price movements: is there a case for fundamentals?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 22-34.
  228. Maher Kooli & Jean-Marc Suret, 2001. "The Aftermarket Performance of Initial Public Offerings in Canada," CIRANO Working Papers 2001s-52, CIRANO.
  229. Dillenberger, David & Rozen, Kareen, 2015. "History-dependent risk attitude," Journal of Economic Theory, Elsevier, vol. 157(C), pages 445-477.
  230. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-280.
  231. Hui, Eddie C.M. & Zheng, Xian & Wang, Hui, 2010. "A dynamic mathematical test of international property securities bubbles and crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1445-1454.
  232. Fernando Alexandre, 2002. "Monetary Policy, Investment and Non-Fundamental Shocks," NIPE Working Papers 6/2002, NIPE - Universidade do Minho.
  233. Suleyman Basak & Hongjun Yan, 2010. "Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion," Review of Economic Studies, Oxford University Press, vol. 77(3), pages 914-936.
  234. Smoluk, H. J., 1999. "Domestic variance and international comovement bonds tests of interest rates," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 247-267, March.
  235. Chan, Hing Lin & Lee, Shu Kam & Woo, Kai Yin, 2001. "Detecting rational bubbles in the residential housing markets of Hong Kong," Economic Modelling, Elsevier, vol. 18(1), pages 61-73, January.
  236. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
  237. Edward L. Glaeser & Charles G. Nathanson, 2014. "Housing Bubbles," NBER Working Papers 20426, National Bureau of Economic Research, Inc.
  238. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  239. Hommes, C.H., 2006. "Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006," CeNDEF Working Papers 06-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  240. 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.
  241. MacDonald, Ronald & Power, David, 1995. "Stock prices, dividends and retention: Long-run relationships and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 135-151, June.
  242. A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002. "Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 264-281.
  243. repec:eee:corfin:v:44:y:2017:i:c:p:99-125 is not listed on IDEAS
  244. Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
  245. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
  246. Franklin Allen & Gary B. Gorton, "undated". "Rational Finite Bubbles," Rodney L. White Center for Financial Research Working Papers 41-88, Wharton School Rodney L. White Center for Financial Research.
  247. Jon Kleinberg & Himabindu Lakkaraju & Jure Leskovec & Jens Ludwig & Sendhil Mullainathan, 2017. "Human Decisions and Machine Predictions," NBER Working Papers 23180, National Bureau of Economic Research, Inc.
  248. Robert P. Flood & Robert J. Hodrick & Paul Kaplan, 1986. "An Evaluation of Recent Evidence on Stock Market Bubbles," NBER Working Papers 1971, National Bureau of Economic Research, Inc.
  249. Kaie Kerem & Enn Listra & Katrin Rahu, 2004. "Market Efficiency and Rational Expectations," Working Papers 112, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
  250. Michael Reiter, 1999. "Asset prices and the measurement of wealth and saving," Economics Working Papers 396, Department of Economics and Business, Universitat Pompeu Fabra.
  251. Nihad Aliyev & Xue-Zhong He, 2016. "Toward a General Model of Financial Markets," Research Paper Series 371, Quantitative Finance Research Centre, University of Technology, Sydney.
  252. Matthew O. Jackson & James Peck, 1993. "Costly Information Acquisition," Discussion Papers 1087, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  253. Carl Chiarella & Shenhuai Gao, 2002. "Modelling the Value of the S&P 500 - A System Dynamics Perspective," Working Paper Series 115, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  254. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
  255. 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.
  256. Nicholas Stern, 2010. "Presidential Address Imperfections in the Economics of Public Policy, Imperfections in Markets, and Climate Change," Journal of the European Economic Association, MIT Press, vol. 8(2-3), pages 253-288, 04-05.
  257. Takatoshi Ito & Tokuo Iwaisako, 1996. "Explaining Asset Bubbles in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 14(1), pages 143-193, July.
  258. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.
  259. Chari, Anusha & Blair Henry, Peter, 2008. "Firm-specific information and the efficiency of investment," Journal of Financial Economics, Elsevier, vol. 87(3), pages 636-655, March.
  260. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, 04.
  261. Gordon Menzies & Ron Bird & Peter B. Dixon & Maureen T. Rimmer, 2011. "Asset Price Regulators, Unite: You have the Macroeconomy to Win and the Microeconomic Losses are Small," The Economic Record, The Economic Society of Australia, vol. 87(278), pages 449-464, 09.
  262. Misund, Bård & Oglend, Atle, 2016. "Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach," Energy, Elsevier, vol. 111(C), pages 178-189.
  263. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
  264. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
  265. Silvia Iranzo, 2008. "Delving into country risk," Occasional Papers 0802, Banco de España;Occasional Papers Homepage.
  266. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
  267. Jacob Boudoukh & Ronen Feldman & Shimon Kogan & Matthew Richardson, 2013. "Which News Moves Stock Prices? A Textual Analysis," NBER Working Papers 18725, National Bureau of Economic Research, Inc.
  268. Nneji, Ogonna, 2015. "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 132-146.
  269. Ozan Hatipoglu & Onur Uyar, 2012. "Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S5), pages 64-75, November.
  270. Sialm, Clemens, 2006. "Stochastic taxation and asset pricing in dynamic general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 511-540, March.
  271. Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  272. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
  273. Esteban Pérez Caldentey & Matías Vernengo, 2010. "Modern Finance, Methodology and the Global Crisis," Working Paper Series, Department of Economics, University of Utah 2010_04, University of Utah, Department of Economics.
  274. Roger E.A. Farmer, 2012. "Qualitative Easing: How it Works and Why it Matters," NBER Working Papers 18421, National Bureau of Economic Research, Inc.
  275. Shang-Jin Wei & Jeffrey A. Frankel, 1991. "Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?," NBER Working Papers 3910, National Bureau of Economic Research, Inc.
  276. Moen, Espen R & Nenov, Plamen T., 2014. "Buying First or Selling First in Housing Markets," CEPR Discussion Papers 9946, C.E.P.R. Discussion Papers.
  277. Paul Beaudry & Franck Portier, 2006. "Stock Prices, News, and Economic Fluctuations," American Economic Review, American Economic Association, vol. 96(4), pages 1293-1307, September.
  278. Giovanni Ferri & Doris Neuberger, 2014. "The Banking Regulatory Bubble and How to Get out of It," Rivista di Politica Economica, SIPI Spa, issue 2, pages 39-69, April-Jun.
  279. WARBURTON, Christopher E.S., 2013. "When Markets Fail: Asset Prices, Government Expenditures, and the Velocity of Money," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 13(2), pages 73-92.
  280. Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages," MPRA Paper 81453, University Library of Munich, Germany.
  281. Crockett, Jean A., 1998. "Rational expectations, inflation and the nominal interest rate," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 349-363.
  282. 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.
  283. Chen, Andrew Y., 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
  284. Priestley, Richard, 2001. "Time-varying persistence in expected returns," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1271-1286, July.
  285. 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.
  286. Taylor, Lucian A., 2013. "CEO wage dynamics: Estimates from a learning model," Journal of Financial Economics, Elsevier, vol. 108(1), pages 79-98.
  287. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
  288. Christian Gollier & Edward Schlee, 2011. "Information And The Equity Premium," Journal of the European Economic Association, European Economic Association, vol. 9(5), pages 871-902, October.
  289. Vázquez Pérez, Jesús & Regúlez Castillo, Marta & Londoño Yarce, Juan Miguel, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 2008-09, University of the Basque Country - Department of Foundations of Economic Analysis II.
  290. Kevin J. Lansing, 2007. "Asset price bubbles," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct26.
  291. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
  292. Anderson, Keith & Brooks, Chris, 2014. "Speculative bubbles and the cross-sectional variation in stock returns," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 20-31.
  293. John Y. Campbell, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, 02.
  294. Jacobs, Heiko & Müller, Sebastian & Weber, Martin, 2014. "How should individual investors diversify? An empirical evaluation of alternative asset allocation policies," Journal of Financial Markets, Elsevier, vol. 19(C), pages 62-85.
  295. Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016. "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 363-386, December.
  296. Pataracchia, B., 2013. "Ambiguity aversion and heterogeneity in financial markets : An empirical and theoretical perspective," Other publications TiSEM bc849a3c-87a4-4718-b049-f, Tilburg University, School of Economics and Management.
  297. Anthony J. Richards, 1991. "The Cost of Equity Capital in Australia: What Can We Learn from International Equity Returns?," RBA Research Discussion Papers rdp9107, Reserve Bank of Australia.
  298. Missaka Warusawitharana & Toni M. Whited, 2016. "Equity Market Misvaluation, Financing, and Investment," Review of Financial Studies, Society for Financial Studies, vol. 29(3), pages 603-654.
  299. Robin Greenwood & Samuel Hanson, 2013. "Waves in Ship Prices and Investment," NBER Working Papers 19246, National Bureau of Economic Research, Inc.
  300. Peter Klibanoff & Owen Lamont & Thierry A. Wizman, 1998. "Investor Reaction to Salient News in Closed-End Country Funds," Journal of Finance, American Finance Association, vol. 53(2), pages 673-699, 04.
  301. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," Emory Economics 0507, Department of Economics, Emory University (Atlanta).
  302. Mehmet Balcilar & Rangan Gupta & Charl Jooste & Omid Ranjbar, 2015. "Characterising the South African Business Cycle: Is GDP Difference-Stationary or Trend-Stationary in a Markov-Switching Setup?," Working Papers 15-04, Eastern Mediterranean University, Department of Economics.
  303. Jonathan Lewellen & Jay Shanken, 2000. "Estimation Risk, Market Efficiency, and the Predictability of Returns," NBER Working Papers 7699, National Bureau of Economic Research, Inc.
  304. José Francisco Bellod Redondo, 2011. "Detección de burbujas inmobiliarias: el caso español," Contribuciones a la Economía, Grupo Eumed.net (Universidad de Málaga), issue 2011-05, May.
  305. Alexander Ludwig & Alexander Zimper, 2013. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Annals of Finance, Springer, vol. 9(4), pages 625-665, November.
  306. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01011701, HAL.
  307. Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012. "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1152-1163.
  308. Bird, R. & Menzies, G. & Dixon, P. & Rimmer, M., 2011. "The economic costs of US stock mispricing," Journal of Policy Modeling, Elsevier, vol. 33(4), pages 552-567, July.
  309. Saumitra N. Bhaduri, 2014. "Applying Approximate Entropy (ApEn) to Speculative Bubble in the Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(1), pages 43-68, April.
  310. Tomasz Wisniewski & Geoffrey Lightfoot & Simon Lilley, 2012. "Speculating on presidential success: exploring the link between the price–earnings ratio and approval ratings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 106-122, January.
  311. 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.
  312. Razen, Michael & Huber, Jürgen & Kirchler, Michael, 2017. "Cash inflow and trading horizon in asset markets," European Economic Review, Elsevier, vol. 92(C), pages 359-384.
  313. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, 02.
  314. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 305-344, January.
  315. Vuillemey, Guillaume & Wasmer, Etienne, 2016. "Frictional Unemployment with Stochastic Bubbles," CEPR Discussion Papers 11561, C.E.P.R. Discussion Papers.
  316. Hali Edison & Torsten Sløk, 2003. "The impact from changes in stock market valuations on investment: new economy versus old economy," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1015-1023.
  317. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "The Size and Incidence of the Losses from Noise Trading," Journal of Finance, American Finance Association, vol. 44(3), pages 681-696, 07.
  318. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1-48.
  319. 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.
  320. Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 247-275, March.
  321. Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
  322. Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
  323. Peter C.B. Phillips & Sam Ouliaris, 1986. "Testing for Cointegration Using Principal Component Measures," Cowles Foundation Discussion Papers 809R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1987.
  324. Dooruj Rambaccussing, 2015. "Revisiting Shiller’s excess volatility hypothesis," Dundee Discussion Papers in Economics 287, Economic Studies, University of Dundee.
  325. Hirokazu Mizobata & Hiroki Toyoda, 2016. "Business Cycles, Asset Prices, and the Frictions of Capital and Labor," KIER Working Papers 953, Kyoto University, Institute of Economic Research.
  326. Lubos Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, 08.
  327. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00983051, HAL.
  328. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 668-686.
  329. Hommes, Cars H., 2014. "Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria," Review of Behavioral Economics, now publishers, vol. 1(1-2), pages 75-97, January.
  330. David Dupuis & David Tessier, 2004. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Money Macro and Finance (MMF) Research Group Conference 2004 73, Money Macro and Finance Research Group.
  331. Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers 5367, C.E.P.R. Discussion Papers.
  332. Laurent Germain & Fabrice Rousseau & Anne Vanhems, 2014. "Irrational Market Makers," Finance, Presses universitaires de Grenoble, vol. 35(1), pages 107-145.
  333. Y. Lemp\'eri\`ere & C. Deremble & P. Seager & M. Potters & J. P. Bouchaud, 2014. "Two centuries of trend following," Papers 1404.3274, arXiv.org.
  334. Robert J. Gordon & John Veitch, 1986. "Fixed Investment in the American Business Cycle, 1919-83," NBER Chapters,in: The American Business Cycle: Continuity and Change, pages 267-358 National Bureau of Economic Research, Inc.
  335. Diks, Cees & Dindo, Pietro, 2008. "Informational differences and learning in an asset market with boundedly rational agents," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1432-1465, May.
  336. Orhan ERDEM & Evren ARIK & Serkan YÜKSEL, 2014. "Trading Puzzle, Puzzling Trade," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(345), pages 83-102.
  337. Hou, Kewei & Peng, Lin & Xiong, Wei, 2006. "R2 and Price Inefficiency," Working Paper Series 2006-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  338. Larrain, Borja & Yogo, Motohiro, 2008. "Does firm value move too much to be justified by subsequent changes in cash flow," Journal of Financial Economics, Elsevier, vol. 87(1), pages 200-226, January.
  339. Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek, 2013. "Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market," MPRA Paper 46528, University Library of Munich, Germany.
  340. Qin XIAO & Randolph TAN GEE KWANG, "undated". "Kalman Filter Estimation of Property Price Bubbles in Seoul," EcoMod2004 330600164, EcoMod.
  341. Hugh Kelley & Tom Evans, 2010. "Measuring the Impact of Behavioral Traders in the Market for Closed-end Country Funds from 2002 to 2009," Chapters,in: Handbook of Behavioral Finance, chapter 16 Edward Elgar Publishing.
  342. Pengfei Wang & Jianjun Miao & Feng Dong, 2017. "Asset Bubbles and Monetary Policy," 2017 Meeting Papers 205, Society for Economic Dynamics.
  343. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
  344. Robert E. Hall, 2005. "Separating the business cycle from other economic fluctuations," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 133-179.
  345. William R. Emmons & Frank A. Schmid, 2003. "Cracks in the façade: American economic and financial structures after the boom," Chapters,in: The Structural Foundations of International Finance, chapter 7 Edward Elgar Publishing.
  346. Edward L. Glaeser & Joseph Gyourko, 2007. "Arbitrage in Housing Markets," NBER Working Papers 13704, National Bureau of Economic Research, Inc.
  347. Singh, Ajit, 1994. "Openness and the market friendly approach to development: Learning the right lessons from development experience," World Development, Elsevier, vol. 22(12), pages 1811-1823, December.
  348. 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.
  349. Lof, Matthijs, 2010. "Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions," MPRA Paper 30520, University Library of Munich, Germany.
  350. repec:agr:journl:v:4(605):y:2015:i:4(605):p:275-290 is not listed on IDEAS
  351. Alexandros SARRIS, 2014. "Options for Developing Countries to Deal with Global Food Commodity Market Volatility," Working Papers P98, FERDI.
  352. Takatoshi Ito & V. Vance Roley, 1988. "Intraday Yen/Dollar Exchange Rate Movements: News or Noise?," NBER Working Papers 2703, National Bureau of Economic Research, Inc.
  353. Dmitry Kulikov, 2012. "Testing for Rational Speculative Bubbles on the Estonian Stock Market," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 4(1).
  354. Jacobs, Heiko, 2016. "Market maturity and mispricing," Journal of Financial Economics, Elsevier, vol. 122(2), pages 270-287.
  355. Kristine Gevorgyan, 2015. "Analysis of Price Bubbles on the Czech Real Estate Market," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2015(5), pages 45-63.
  356. 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.
  357. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, Reading University.
  358. Edoardo Gaffeo & Massimo Molinari, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/07, Department of Economics and Management.
  359. Howard Qi & Sheen Liu & Chunchi Wu, 2009. "On the calibration of structural credit spread models," Annals of Finance, Springer, vol. 5(2), pages 189-208, March.
  360. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
  361. Feng, Xunan & Hu, Na & Johansson, Anders C., 2016. "Ownership, analyst coverage, and stock synchronicity in China," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 79-96.
  362. Jose Eduardo de A. Ferreira, 2006. "Periodically Collapsing Rational Bubbles in Exchange Rates: A Markov-Switching Analysis for a Sample of Industrialised Markets," Studies in Economics 0604, School of Economics, University of Kent.
  363. Robin Greenwood & Andrei Shleifer, 2014. "Expectations of Returns and Expected Returns," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
  364. Patric H. Hendershott & Bryan D. MacGregor, 2005. "Investor Rationality: Evidence from U.K. Property Capitalization Rates," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(2), pages 299-322, 06.
  365. Steven Li, 2002. "A valuation model for firms with stochastic earnings," School of Economics and Finance Discussion Papers and Working Papers Series 122, School of Economics and Finance, Queensland University of Technology.
  366. Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 123-142, April.
  367. Ogonna Nneji & Charles Ward, 2011. "An investigation of bubble spillovers from the stock market and the residential property market to REITs," ERES eres2011_75, European Real Estate Society (ERES).
  368. Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas, 2016. "Is there a bubble in the art market?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 99-109.
  369. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
  370. Andrea Gaunersdorfer & Cars Hommes & Florian Wagener, 2001. "Adaptive Beliefs and the volatility of asset prices," CeNDEF Workshop Papers, January 2001 5A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  371. Bullard, James & Evans, George W. & Honkapohja, Seppo, 2010. "A Model Of Near-Rational Exuberance," Macroeconomic Dynamics, Cambridge University Press, vol. 14(02), pages 166-188, April.
  372. Ajwa, Martine Therese, 1995. "Technical trading patterns: can they truly predict price movements and can they be exploited for excess returns?," ISU General Staff Papers 1995010108000011754, Iowa State University, Department of Economics.
  373. Bernhard Eckwert & Burkhard Drees, 2005. "Asset Mispricing Due to Cognitive Dissonance," IMF Working Papers 05/9, International Monetary Fund.
  374. Esteban Gómez & Sandra Rozo, 2008. "Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 26(56), pages 114-148, June.
  375. Leopoldo S\'anchez-Cant\'u & Carlos Arturo Soto-Campos & Andriy Kryvko, 2016. "Evidence of Self-Organization in Time Series of Capital Markets," Papers 1604.03996, arXiv.org, revised Mar 2017.
  376. Thomas A. Rietz, 1989. "Continuous Time Research and Development Investment and Innovation: Effects on Price and Dividend Paths," Discussion Papers 1012, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  377. Steven N. Durlauf & Robert E. Hall, 1989. "Bounds on the Variances of Specification Errors in Models with Expectations," NBER Working Papers 2936, National Bureau of Economic Research, Inc.
  378. Haim Kedar-Levy, 2004. "Learning the CAPM through Bubbles," Econometric Society 2004 Far Eastern Meetings 775, Econometric Society.
  379. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
  380. Mariana Mazzucato, 2002. "The PC Industry: New Economy or Early Life-Cycle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(2), pages 318-345, April.
  381. Shu-Peng Chen & Ling-Yun He, 2016. "The asset price bubbles in emerging financial markets: a new statistical approach," Papers 1610.07287, arXiv.org.
  382. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
  383. Assaf Razin & Itay Goldstein, 2012. "Review Of Theories of Financial Crises," 2012 Meeting Papers 214, Society for Economic Dynamics.
  384. Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1991. " Investor Sentiment and the Closed-End Fund Puzzle," Journal of Finance, American Finance Association, vol. 46(1), pages 75-109, March.
  385. Drees, Burkhard & Eckwert, Bernhard, 1993. "Asset pricing with cognitive dissonance," Discussion Papers, Series II 213, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  386. Rambaccussing, Dooruj, 2015. "Revisiting Shiller’s excess volatility hypothesis," SIRE Discussion Papers 2015-82, Scottish Institute for Research in Economics (SIRE).
  387. Lawrence H. Summers, 1981. "Inflation and the Valuation of Corporate Equities," NBER Working Papers 0824, National Bureau of Economic Research, Inc.
  388. Boubaker, Sabri & Farag, Hisham & Nguyen, Duc Khuong, 2015. "Short-term overreaction to specific events: Evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 35(C), pages 153-165.
  389. 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.
  390. Jean-Pierre Danthine & Xiangrong Jin, 2007. "Intangible capital, corporate valuation and asset pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 157-177, July.
  391. Falk, Barry, 1989. "Testing the Present Value Model of Farmland Prices," ISU General Staff Papers 198902010800001197, Iowa State University, Department of Economics.
  392. Pastor, Lubos & Veronesi, Pietro, 2006. "Was there a Nasdaq bubble in the late 1990s?," Journal of Financial Economics, Elsevier, vol. 81(1), pages 61-100, July.
  393. Diwan, Ishac & Errunza, Vihang & Senbet, Lemma W., 1992. "The pricing of country funds and their role in capital mobilization for emerging economies," Policy Research Working Paper Series 1058, The World Bank.
  394. Sasidharan, Anand, 2009. "Structural Changes in India's Stock Markets' Efficiency," MPRA Paper 19433, University Library of Munich, Germany, revised Dec 2009.
  395. Raphael Bergoeing & Felipe Morandé & Raimundo Soto, 2002. "Asset Prices in Chile: Facts and Fads," Central Banking, Analysis, and Economic Policies Book Series,in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 8, pages 235-278 Central Bank of Chile.
  396. Robert B. Barsky & J. Bradford De Long, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, Oxford University Press, vol. 108(2), pages 291-311.
  397. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  398. Amal Aouadi & Mohamed Arouri & Frédéric Teulon, 2014. "Investor Following and Volatility: A GARCH Approach," Working Papers 2014-286, Department of Research, Ipag Business School.
  399. Alberto Madrid & Luis A. Hierro, 2015. "Burbujas especulativas: el estado de una cuestión poco estudiada," Cuadernos de Economía - Spanish Journal of Economics and Finance, ELSEVIER, vol. 38(108), pages 123-138, Septiembr.
  400. F Alexandre & P Bacao, 2006. "Investment and Non-fundamental Movements in Asset Prices: is there a role for monetary policy?," Economic Issues Journal Articles, Economic Issues, vol. 11(1), pages 65-95, March.
  401. Bell, William Paul, 2009. "Adaptive interactive expectations: dynamically modelling profit expectations," MPRA Paper 38260, University Library of Munich, Germany, revised 09 Feb 2010.
  402. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "R2 and idiosyncratic volatility: Which captures the firm-specific return variation?," Economic Modelling, Elsevier, vol. 55(C), pages 298-304.
  403. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  404. Scruggs, John T., 2007. "Noise trader risk: Evidence from the Siamese twins," Journal of Financial Markets, Elsevier, vol. 10(1), pages 76-105, February.
  405. Flood, Robert P & Hodrick, Robert J, 1986. " Asset Price Volatility, Bubbles, and Process Switching," Journal of Finance, American Finance Association, vol. 41(4), pages 831-842, September.
  406. Patric Hendershott & Robert J. Hendershott & Bryan D. MacGregor, 2005. "Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique," NBER Working Papers 11329, National Bureau of Economic Research, Inc.
  407. Gerber, Anke & Hens, Thorsten & Vogt, Bodo, 2010. "Rational investor sentiment in a repeated stochastic game with imperfect monitoring," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 669-704, December.
  408. Theobald, Michael & Yallup, Peter, 2005. "Intradaily volatility and adjustment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 407-424, December.
  409. Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
  410. Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
  411. Xu, Cheng Kenneth, 2000. "The microstructure of the Chinese stock market," China Economic Review, Elsevier, vol. 11(1), pages 79-97.
  412. Blau, Benjamin M. & Griffith, Todd G., 2016. "Price clustering and the stability of stock prices," Journal of Business Research, Elsevier, vol. 69(10), pages 3933-3942.
  413. Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
  414. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
  415. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  416. Giovanni Majnoni & Andrew Powell, 2011. "On Endogenous Risk, the Amplification Effects of Financial Systems and Macro Prudential Policies," Research Department Publications 4726, Inter-American Development Bank, Research Department.
  417. Ghonghadze, Jaba & Lux, Thomas, 2015. "Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility," FinMaP-Working Papers 38, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  418. Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 75-86.
  419. Dai, Meixing & Sidiropoulos, Moïse, 2002. "Règle du taux d'intérêt optimale, prix des actions et taux d'inflation anticipé : une étude de la stabilité macroéconomique
    [Optimal interest rate rule, asset prices and expected inflation rate : a
    ," MPRA Paper 14401, University Library of Munich, Germany, revised Jun 2003.
  420. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890, arXiv.org.
  421. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  422. Haim Kedar-Levy, 2002. "Price Bubbles of New-Technology IPOs," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 7(2), pages 11-32, Summer.
  423. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
  424. Shawky, Hany A. & Marathe, Achla, 1995. "Expected stock returns and volatility in a two-regime market," Journal of Economics and Business, Elsevier, vol. 47(5), pages 409-421, December.
  425. Syed Ahsan & Panagiotis Tsigaris, 2002. "Measuring the Social Discount Rate under Uncertainty: A Methodology and Application," CESifo Working Paper Series 824, CESifo Group Munich.
  426. Bachar Fakhry & Christian Richter, 2015. "Is the sovereign debt market efficient? Evidence from the US and German sovereign debt markets," International Economics and Economic Policy, Springer, vol. 12(3), pages 339-357, September.
  427. Hee-Joon Ahn, 2014. "Does Trading by Small Investors Improve or Deteriorate Price Efficiency? Evidence from the Minimum Trade Unit Changes on the Korea Exchange," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 2(2), pages 1-17, May.
  428. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
  429. 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.
  430. Gianluca Vagnani & Michele Simoni, 2016. "Technological uncertainty, market orientation and firms’ economic performance," MERCATI E COMPETITIVITÀ, FrancoAngeli Editore, vol. 2016(2), pages 143-167.
  431. Mohamed A. El-Erian & Manmohan S. Kumar, 1994. "Emerging Equity Markets in Middle Eastern Countries," IMF Working Papers 94/103, International Monetary Fund.
  432. Itamar Caspi, 2016. "Testing for a housing bubble at the national and regional level: the case of Israel," Empirical Economics, Springer, vol. 51(2), pages 483-516, September.
  433. 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.
  434. Barberis, Nicholas & Thaler, Richard, 2003. "A survey of behavioral finance," 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 18, pages 1053-1128 Elsevier.
  435. repec:dau:papers:123456789/12877 is not listed on IDEAS
  436. Philippe Bacchetta & Eric Van Wincoop, 2008. "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 837-866, 08.
  437. 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.
  438. Su, Chi-Wei & Li, Zheng-Zheng & Chang, Hsu-Ling & Lobonţ, Oana-Ramona, 2017. "When Will Occur the Crude Oil Bubbles?," Energy Policy, Elsevier, vol. 102(C), pages 1-6.
  439. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
  440. Brevik, Frode & d’Addona, Stefano, 2011. "Information Quality and Stock Returns Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(06), pages 1419-1446, January.
  441. Rodriguez, Rosa & Restoy, Fernando & Pena, J. Ignacio, 2002. "Can output explain the predictability and volatility of stock returns?," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 163-182, April.
  442. Gómez-González, José E. & Ojeda-Joya, Jair N. & Rey-Guerra, Catalina & Sicard, Natalia, 2013. "Testing for bubbles in housing markets: new results using a new method," Globalization and Monetary Policy Institute Working Paper 164, Federal Reserve Bank of Dallas.
  443. Bohl, Martin T., 2003. "Periodically collapsing bubbles in the US stock market?," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 385-397.
  444. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
  445. Aizenman, Joshua, 1998. "Buffer stocks and precautionary savings with loss aversion," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 931-947, December.
  446. Ikeda, Shinsuke & Shibata, Akihisa, 1995. "Fundamentals uncertainty, bubbles, and exchange rate dynamics," Journal of International Economics, Elsevier, vol. 38(3-4), pages 199-222, May.
  447. Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2017. "Date-stamping US housing market explosivity," Economics Discussion Papers 2017-44, Kiel Institute for the World Economy (IfW).
  448. 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.
  449. Dieckmann, Stephan & Gallmeyer, Michael, 2005. "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1547-1576, September.
  450. Harras, Georges & Sornette, Didier, 2011. "How to grow a bubble: A model of myopic adapting agents," Journal of Economic Behavior & Organization, Elsevier, vol. 80(1), pages 137-152.
  451. Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015. "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, vol. 34, pages 17-23.
  452. Ehsan Ahmed & Honggang Li & J. Barkley Rosser, 2006. "Nonlinear bubbles in Chinese Stock Markets in the 1990s," Eastern Economic Journal, Eastern Economic Association, vol. 32(1), pages 1-18, Winter.
  453. Ahmed Ibrahim Mokhtar, 2016. "An Empirical Examination of the Behavioral CAPM," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 5(3), pages 1-2.
  454. Yamamoto, Ryuichi & Hirata, Hideaki, 2013. "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 2010-2022.
  455. Velinov, Anton, 2016. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," Annual Conference 2016 (Augsburg): Demographic Change 145581, Verein für Socialpolitik / German Economic Association.
  456. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  457. Pyo, Dong-Jin, 2015. "Animal spirits and stock market dynamics," ISU General Staff Papers 201501010800005596, Iowa State University, Department of Economics.
  458. Knight, John & Satchell, Stephen & Srivastava, Nandini, 2014. "Steady state distributions for models of locally explosive regimes: Existence and econometric implications," Economic Modelling, Elsevier, vol. 41(C), pages 281-288.
  459. Chan, Wesley S., 2003. "Stock price reaction to news and no-news: drift and reversal after headlines," Journal of Financial Economics, Elsevier, vol. 70(2), pages 223-260, November.
  460. Luigi Bonatti & Lorenza Lorenzetti, 2016. "The co-evolution of tax evasion, social capital and policy responses: A theoretical approach," DEM Working Papers 2016/08, Department of Economics and Management.
  461. Glenn Otto, 2003. "Can an Intertemporal Model Explain Australia's Current Account Deficit?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 36(3), pages 350-359.
  462. Finocchiaro, Daria, 2011. "Inattention, wealth inequality and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 146-155, March.
  463. Pereira Reichhardt, Joaquín & Iqbal, Tabassum, 2014. "Investment Decisions: Are we fully-Rational?," MPRA Paper 57686, University Library of Munich, Germany.
  464. 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.
  465. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2017. "The Economics of Value Investing," NBER Working Papers 23563, National Bureau of Economic Research, Inc.
  466. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
  467. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 469-491, October.
  468. María Angélica Arbeláez Restrepo & Leonard E. Burman & Sandra Consuelo Zuluaga, 2004. "The bank debit tax in Colombia," INFORMES DE INVESTIGACIÓN 003565, FEDESARROLLO.
  469. Alessandro, CITANNA, 1999. "Financial Innovation and Price Volatility," Les Cahiers de Recherche 685, HEC Paris.
  470. John B. Shoven, 1986. "New Developments in Corporate Finance and Tax Avoidance: Some Evidence," NBER Working Papers 2091, National Bureau of Economic Research, Inc.
  471. repec:oup:revfin:v:21:y:2017:i:3:p:945-985. is not listed on IDEAS
  472. Chang, Eric C. & Dong, Sen, 2006. "Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 135-154, April.
  473. John H. Huston, 2009. "Speculative excess and the Federal Reserve's response," Studies in Economics and Finance, Emerald Group Publishing, vol. 26(1), pages 46-61, March.
  474. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2007. "A generalized volatility bound for dynamic economies," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2269-2290, November.
  475. 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.
  476. repec:hrv:faseco:30747193 is not listed on IDEAS
  477. Robertson, Donald & Wright, Stephen, 1998. "The Good News and the Bad News about Long-run Stock Market Returns," Cambridge Working Papers in Economics 9822, Faculty of Economics, University of Cambridge.
  478. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  479. Khanna, Naveen & Sonti, Ramana, 2004. "Value creating stock manipulation: feedback effect of stock prices on firm value," Journal of Financial Markets, Elsevier, vol. 7(3), pages 237-270, June.
  480. Fuster, Andreas & Hebert, Benjamin Michael & Laibson, David I., 2012. "Investment Dynamics with Natural Expectations," Scholarly Articles 10139283, Harvard University Department of Economics.
  481. Cheolbeom Park, 2002. "Speculative Behavior and Heterogeneous Expectations: Theory and Evidence," Departmental Working Papers wp0205, National University of Singapore, Department of Economics.
  482. Hans Joachim Voth, 2000. "With a bang, not a whimper: Pricking Germany's "stock market bubble" in 1927 and the slide into depression," Economics Working Papers 516, Department of Economics and Business, Universitat Pompeu Fabra.
  483. Ghonghadze, Jaba & Lux, Thomas, 2016. "Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 1-19.
  484. Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 373-405, June.
  485. Marcelo M. de Oliveira & Alexandre C. L. Almeida, 2014. "Testing for rational speculative bubbles in the Brazilian residential real-estate market," Papers 1401.7615, arXiv.org.
  486. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
  487. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
  488. 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.
  489. McConnell, John J., 2002. "Learning from a Keynote speaker: Lessons from Merton Miller's PACAP addresses," Pacific-Basin Finance Journal, Elsevier, vol. 10(4), pages 359-369, September.
  490. Eugene N. White, 2004. "Bubbles and Busts: The 1990s in the Mirror of the 1920s," FRU Working Papers 2004/09, University of Copenhagen. Department of Economics. Finance Research Unit.
  491. Kiran Sharma & Balagopal Gopalakrishnan & Anindya S. Chakrabarti & Anirban Chakraborti, 2016. "Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping," Papers 1612.05952, arXiv.org, revised Jan 2017.
  492. Haim Kedar-Levy, 2007. "Why Would Financial Bubbles Evolve After New Technologies?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 12(1), pages 83-106, Spring.
  493. Ritter, Jay R., 2005. "Economic growth and equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 489-503, November.
  494. repec:pit:wpaper:504 is not listed on IDEAS
  495. Lettau, Martin & Ludvigson, Sydney, 2002. "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 31-66, January.
  496. Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group.
  497. Roßbach, Peter, 2001. "Behavioral finance: eine Alternative zur vorherrschenden Kapitalmarkttheorie?," Frankfurt School - Working Paper Series 31, Frankfurt School of Finance and Management.
  498. James Peck & Matthew O. Jackson, 1999. "Asymmetric information in a competitive market game: Reexamining the implications of rational expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 13(3), pages 603-628.
  499. Kraus, Alan & Smith, Maxwell, 1998. "Endogenous sunspots, pseudo-bubbles, and beliefs about beliefs," Journal of Financial Markets, Elsevier, vol. 1(2), pages 151-174, August.
  500. Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series 119, Bamberg University, Bamberg Economic Research Group.
  501. Mordecai Kurz & Maurizio Motolese, "undated". "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
  502. Branston, Christopher B. & Groenewold, Nicolaas, 2004. "Investment and share prices: fundamental versus speculative components," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 199-226, August.
  503. Guerdjikova, Ani, 2006. "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers 06-13, Cornell University, Center for Analytic Economics.
  504. Alexei Deviatov & Igor Dodonov, 2006. "Exchange-rate volatility, exchange-rate disconnect, and the failure of volatility conservation," Working Papers w0079, Center for Economic and Financial Research (CEFIR).
  505. Levine, Ross & Zervos, Sara, 1998. "Stock Markets, Banks, and Economic Growth," American Economic Review, American Economic Association, vol. 88(3), pages 537-558, June.
  506. Lansing, Kevin J., 2012. "Speculative growth, overreaction, and the welfare cost of technology-driven bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 461-483.
  507. Peter Egger & Doina Radulescu & Ray Rees, 2015. "Heterogeneous Beliefs and the Demand for D&O Insurance by Listed Companies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 82(4), pages 823-852, December.
  508. Martin Dufwenberg & Peter Martinsson, 2014. "Keeping Researchers Honest: The Case for Sealed-Envelope-Submissions," Working Papers 533, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  509. Buckley, Winston & Long, Hongwei & Perera, Sandun, 2014. "A jump model for fads in asset prices under asymmetric information," European Journal of Operational Research, Elsevier, vol. 236(1), pages 200-208.
  510. Ball, Ray & Bartov, Eli, 1996. "How naive is the stock market's use of earnings information?," Journal of Accounting and Economics, Elsevier, vol. 21(3), pages 319-337, June.
  511. repec:eee:reveco:v:49:y:2017:i:c:p:327-339 is not listed on IDEAS
  512. Suzuki, Masakazu, 2011. "A Model of Equity Prices with Heterogeneous Beliefs," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 52(1), pages 41-54, June.
  513. Mikhail Anufriev & Cars Hommes & Raoul Philipse, 2013. "Evolutionary selection of expectations in positive and negative feedback markets," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 663-688, July.
  514. Michael Bleaney & Mo Tian, "undated". "Global Imbalances and the External Solvency of Nations," Discussion Papers 14/02, University of Nottingham, CREDIT.
  515. Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016. "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers 22161, National Bureau of Economic Research, Inc.
  516. Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1135-1171, December.
  517. Ivanov, Sergei, 2013. "Interest rate paradox," MPRA Paper 47723, University Library of Munich, Germany.
  518. Pat Wilson & John Okunev & Tiffany Hutcheson, 1998. "Regime Switches in Property Market Risk Premiums: Some International Comparisons," Working Paper Series 80, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  519. 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.
  520. Kallberg, Jarl & Liu, Crocker H. & Pasquariello, Paolo, 2008. "Updating expectations: An analysis of post-9/11 returns," Journal of Financial Markets, Elsevier, vol. 11(4), pages 400-432, November.
  521. Calvet, Laurent E., 2001. "Incomplete Markets and Volatility," Journal of Economic Theory, Elsevier, vol. 98(2), pages 295-338, June.
  522. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
  523. Gordon, Stephen, 1996. "How long is the firm's forecast horizon?," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1145-1176.
  524. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
  525. Michael Razen & Jürgen Huber & Michael Kirchler, 2016. "Cash Inflow and Trading Horizon in Asset Markets," Working Papers 2016-06, Faculty of Economics and Statistics, University of Innsbruck.
  526. Nawazish Mirza & Ayesha Afzal, 2012. "Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 55-86, June.
  527. 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.
  528. Clain-Chamosset-Yvrard, Lise & Seegmuller, Thomas, 2015. "Rational bubbles and macroeconomic fluctuations: The (de-)stabilizing role of monetary policy," Mathematical Social Sciences, Elsevier, vol. 75(C), pages 1-15.
  529. Bing NMI1 Han & Mark Grinblatt, 2001. "The Disposition Effect and Momentum," Yale School of Management Working Papers ysm239, Yale School of Management.
  530. Shiller, Robert J., 1982. "Consumption, asset markets and macroeconomic fluctuations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 17(1), pages 203-238, January.
  531. Taylor Jaworski & Erik O. Kimbrough, 2016. "Bubbles, Crashes, And Endogenous Uncertainty In Linked Asset And Product Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57, pages 155-176, 02.
  532. David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
  533. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
  534. 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.
  535. Gabriel P. Mathy, 2014. "Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression," Working Papers 2014-02, American University, Department of Economics.
  536. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, 04.
  537. Felipe Zurita, 2004. "Essays on Speculation," Levine's Working Paper Archive 618897000000000849, David K. Levine.
  538. Tan, Senren & Jin, Zhuo & Wu, Fuke, 2015. "Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks," Economic Modelling, Elsevier, vol. 49(C), pages 331-343.
  539. Albuquerque, Rui & Eichenbaum, Martin & Rebelo, Sérgio, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
  540. Hott, Christian, 2009. "Herding behavior in asset markets," Journal of Financial Stability, Elsevier, vol. 5(1), pages 35-56, January.
  541. Brian Lucey & Fergal A. O'connor, 2012. "Do Bubbles occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models," The Institute for International Integration Studies Discussion Paper Series iiisdp418, IIIS.
  542. repec:pra:mprapa:37980 is not listed on IDEAS
  543. Koijen, Ralph & van Binsbergen, Jules H., 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
  544. Instefjord, Norvald, 2006. "Forecasting risk, informed speculation, and financial innovation," Journal of Financial Intermediation, Elsevier, vol. 15(1), pages 67-85, January.
  545. Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr, 2012. "Fast profits: Investor sentiment and stock returns during Ramadan," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 835-845.
  546. Kouwenberg, Roy & Zwinkels, Remco, 2014. "Forecasting the US housing market," International Journal of Forecasting, Elsevier, vol. 30(3), pages 415-425.
  547. Arnold, Lutz G. & Brunner, Stephan, 2015. "The economics of rational speculation in the presence of positive feedback trading," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 161-174.
  548. Kirchler, Michael, 2009. "Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 491-506, February.
  549. Matthew S. Yiu & Lu Jin, 2012. "Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach," Working Papers 012012, Hong Kong Institute for Monetary Research.
  550. Alain Butery, 1995. "Stratégie et fluctuations sur les marchés financiers," Revue Économique, Programme National Persée, vol. 46(1), pages 123-135.
  551. 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.
  552. Jacques Mairesse & Alan K. Siu, 1984. "An Extended Accelerator Model of R&D and Physical Investment," NBER Chapters,in: R&D, Patents, and Productivity, pages 271-298 National Bureau of Economic Research, Inc.
  553. Ludwig, Alexander & Zimper, Alexander, 2014. "Biased Bayesian learning with an application to the risk-free rate puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 79-97.
  554. Peng, Yajun & Shawky, Hany, 1997. "Productivity shocks and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 303-316.
  555. Zoutman, Floris T., 2014. "The Effect of Capital Taxes on Household's Portfolio Composition and Intertemporal Choice: Evidence from the Dutch 2001 Capital Income Tax Reform," Discussion Papers 2014/23, Department of Business and Management Science, Norwegian School of Economics.
  556. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-355, July.
  557. George A. Akerlof, 2003. "Behavioral Macroeconomics and Macroeconomic Behavior," The American Economist, Sage Publications, vol. 47(1), pages 25-47, March.
  558. Cohen, Ruben D, 2000. "The long-run behavior of the S&P Composite Price Index and its risk premium," MPRA Paper 3192, University Library of Munich, Germany.
  559. Frydman Roman & Goldberg Michael D., 2008. "Macroeconomic Theory for a World of Imperfect Knowledge," Capitalism and Society, De Gruyter, vol. 3(3), pages 1-78, December.
  560. Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
  561. Roman Frydman & Joshua R. Stillwagon, 2016. "Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter," Working Papers Series 44, Institute for New Economic Thinking.
  562. De Grauwe, Paul & Ji, Yuemei, 2014. "Disappearing government bond spreads in the eurozone – Back to normal?," CEPS Papers 9249, Centre for European Policy Studies.
  563. 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.
  564. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990. "Mean Reversion in Equilibrium Asset Prices," American Economic Review, American Economic Association, vol. 80(3), pages 398-418, June.
  565. André Orléan, 1992. "Contagion des opinions et fonctionnement des marchés financiers," Revue Économique, Programme National Persée, vol. 43(4), pages 685-698.
  566. Stanley, T. D., 1997. "Bubbles, inertia, and experience in experimental asset markets," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 26(6), pages 611-625.
  567. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224, March.
  568. Ashok Chakravarti, 2012. "Institutions, Economic Performance and the Visible Hand," Books, Edward Elgar Publishing, number 14751.
  569. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  570. Angus Moore, 2016. "Measures of Inflation Expectations in Australia," RBA Bulletin, Reserve Bank of Australia, pages 23-31, December.
  571. Thomas Stöckl & Jürgen Huber & Michael Kirchler, 2015. "Multi-period experimental asset markets with distinct fundamental value regimes," Experimental Economics, Springer;Economic Science Association, vol. 18(2), pages 314-334, June.
  572. Gutierrez, Luciano, 2011. "Bootstrapping asset price bubbles," Economic Modelling, Elsevier, vol. 28(6), pages 2488-2493.
  573. 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.
  574. White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.
  575. Olivier Davanne, 2004. "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 177-201.
  576. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  577. 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.
  578. Piergiorgio Alessandri, 2006. "Bubbles and fads in the stock market: another look at the experience of the US," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 195-203.
  579. John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
  580. Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
  581. Nikolaos Mitinanoudis & Theologos Dergiades, 2017. "Stock Prices Predictability at Long-horizons: Two Tales from the Time-Frequency Domain," Credit and Capital Markets, Credit and Capital Markets, vol. 50(1), pages 37-61.
  582. repec:inu:caeprp:2014003 is not listed on IDEAS
  583. Campbell, Gareth & Quinn, William & Turner, John D. & Ye, Qing, 2015. "What moved share prices in the nineteenth-century London stock market?," QUCEH Working Paper Series 15-06, Queen's University Belfast, Queen's University Centre for Economic History.
  584. Ulrike Malmendier & Demian Pouzo & Vicotria Vanasco, 2016. "A Theory of Experience Effects," Papers 1612.09553, arXiv.org.
  585. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
  586. Julan Du & Shang-Jin Wei, 2004. "Does Insider Trading Raise Market Volatility?," Economic Journal, Royal Economic Society, vol. 114(498), pages 916-942, October.
  587. Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
  588. 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.
  589. Robert E. Hall, 2001. "Struggling to Understand the Stock Market," American Economic Review, American Economic Association, vol. 91(2), pages 1-11, May.
  590. 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.
  591. John Knight & Stephen Satchell & Nandini Srivastava, 2012. "Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications," Birkbeck Working Papers in Economics and Finance 1208, Birkbeck, Department of Economics, Mathematics & Statistics.
  592. 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.
  593. Bartolini, Leonardo & Giorgianni, Lorenzo, 2001. "Excess Volatility of Exchange Rates with Unobservable Fundamentals," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 518-530, August.
  594. repec:eee:finlet:v:21:y:2017:i:c:p:21-25 is not listed on IDEAS
  595. He, Qing & Qian, Zongxin & Fei, Zhe & Chong, Terence Tai Leung, 2016. "Do Speculative Bubbles Migrate in the Chinese Stock Market?," MPRA Paper 80575, University Library of Munich, Germany.
  596. Hollifield, Burton, 2002. "Comment on: : Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 27-30, January.
  597. L. Borland & J. -Ph. Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Papers physics/0507073, arXiv.org.
  598. Homburg, Stefan, 2017. "A Study in Monetary Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198807537.
  599. Sarolli, Gian Domenico, 2015. "Cleaning the gears: Counter-cyclical asset trading with financial transactions taxes," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 110-122.
  600. Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015. "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 89-100.
  601. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics,in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186 Elsevier.
  602. Chunsheng Zhou, 1996. "Stock market fluctuations and the term structure," Finance and Economics Discussion Series 96-3, Board of Governors of the Federal Reserve System (U.S.).
  603. Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers 3104, C.E.P.R. Discussion Papers.
  604. Shu-Peng Chen & Ling-Yun He, 2013. "Bubble Formation and Heterogeneity of Traders: A Multi-Agent Perspective," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 267-289, October.
  605. Abdelaziz Rouabah, 2007. "L'inflation et la rentabilité des actions : une relation énigmatique et un casse-tête pour les banques centrales," Économie et Prévision, Programme National Persée, vol. 177(1), pages 19-34.
  606. Asiya Sohail & Attiya Yasmin Javid, 2014. "The Global Financial Crisis and Investors’ Behaviour; Evidence from the Karachi Stock Exchange," PIDE-Working Papers 2014:106, Pakistan Institute of Development Economics.
  607. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
  608. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
  609. Brian Sallans & Alexander Pfister & Alexandros Karatzoglou & Georg Dorffner, 2003. "Simulation and Validation of an Integrated Markets Model," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 6(4), pages 1-2.
  610. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
  611. Lawrence J. Christiano & Jonas Fisher, 1995. "Tobin's q and Asset Returns: Implications for Business Cycle Analysis," NBER Working Papers 5292, National Bureau of Economic Research, Inc.
  612. Eli Ofek & Matthew Richardson, 2001. "DotCom Mania: The Rise and Fall of Internet Stock Prices," NBER Working Papers 8630, National Bureau of Economic Research, Inc.
  613. Jagannathan, Murali & Stephens, Clifford P. & Weisbach, Michael S., 2000. "Financial flexibility and the choice between dividends and stock repurchases," Journal of Financial Economics, Elsevier, vol. 57(3), pages 355-384, September.
  614. Aaron Tornell, 2000. "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers 7753, National Bureau of Economic Research, Inc.
  615. Samih Antoine Azar, 2012. "Determinants of Cyclical Aggregate Dividend Behavior," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 71-78, August.
  616. Franke, Reiner & Sethi, Rajiv, 1998. "Cautious trend-seeking and complex asset price dynamics," Research in Economics, Elsevier, vol. 52(1), pages 61-79, March.
  617. Steven Li, 2003. "A valuation model for firms with stochastic earnings," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(3), pages 229-243.
  618. Pierdzioch, Christian & Stadtmann, Georg, 1999. "Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell mit heterogener Erwartungsbildung," Kiel Working Papers 911, Kiel Institute for the World Economy (IfW).
  619. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are Exchange Rates Excessively Volatile? And What Does "Excessively Volatile" Mean, Anyway?," IMF Staff Papers, Palgrave Macmillan, vol. 43(1), pages 72-96, March.
  620. Girardin, Eric & Joyeux, Roselyne, 2013. "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Economic Modelling, Elsevier, vol. 34(C), pages 59-68.
  621. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, EconWPA.
  622. Marc Goergen & Christine A. Mallin & Eve Mitleton-Kelly & Ahmed Al-Hawamdeh & Iris H-Y Chiu, 2010. "Corporate Governance and Complexity Theory," Books, Edward Elgar Publishing, number 13927.
  623. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
  624. Daniel Perez-Liston & Daniel Huerta & Sanzid Haq, 2016. "Does investor sentiment impact the returns and volatility of Islamic equities?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(3), pages 421-437, July.
  625. Mundt, Philipp & Förster, Niels & Alfarano, Simone & Milakovi?, Mishael, 2014. "The real versus the financial economy: A global tale of stability versus volatility," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 8, pages 1-26.
  626. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
  627. Catherine Bruneau & Ch. Duval-Kieffer & J. P. Nicolai, 2000. "Managing funds in the US market: how to distinguish between transitory distortions and structural changes in the stock prices?," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 146-162.
  628. Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010. "Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 345-361, June.
  629. 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.
  630. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 1305, Department of Applied Economics II, Universidad de Valencia.
  631. 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.
  632. Rambaccussing, Dooruj, 2015. "Revisiting Shiller's excess volatility hypothesis," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-33, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  633. David Gruen, 1995. "Financial Market Volatility and the World-wide Fall in Inflation," RBA Research Discussion Papers rdp9513, Reserve Bank of Australia.
  634. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  635. Lansing, Kevin J., 2016. "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, vol. 28(C), pages 132-148.
  636. Abdelaziz Rouabah, 2006. "L'identité de Fisher et l'interaction entre l'inflation et la rentabilité des actions: l'importance des régimes sous-jacents aux marchés boursiers," BCL working papers 18, Central Bank of Luxembourg.
  637. Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2012. "On the Hybrid Nature of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 230-249, January.
  638. 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.
  639. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, 07.
  640. Barsky, Robert B, 1989. "Why Don't the Prices of Stocks and Bonds Move Together?," American Economic Review, American Economic Association, vol. 79(5), pages 1132-1145, December.
  641. Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
  642. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  643. Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
  644. Stan Shun-Pinn Lee & Kim-Leng Goh, 2016. "Regional and International Linkages of the ASEAN-5 Stock Markets: A Multivariate Garch Approach," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(1), pages 49-71.
  645. Christian Weistroffer & Steffen Sebastian, 2015. "The German Open-End Fund Crisis – A Valuation Problem?," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 517-548, May.
  646. José E. Gómez-González & Jair N. Ojeda-Joya & Catalina Rey-Guerra & Natalia Sicard, 2015. "Testing for Bubbles in the Colombian Housing Market: A New Approach," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, August.
  647. Chang, Tsangyao & Chen, Wen-Yi & Gupta, Rangan & Nguyen, Duc Khuong, 2015. "Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test," Economic Systems, Elsevier, vol. 39(2), pages 288-300.
  648. Leone, Vitor & de Medeiros, Otavio Ribeiro, 2015. "Signalling the Dotcom bubble: A multiple changes in persistence approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 77-86.
  649. Huerta, Daniel & Egly, Peter V. & Escobari, Diego, 2015. "The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility," MPRA Paper 68155, University Library of Munich, Germany.
  650. Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
  651. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
  652. Angelos Kanas & Yue Ma, 2004. "Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 237-250.
  653. Eric Zivot & Peter C.B. Phillips, 1991. "A Bayesian Analysis of Trend Determination in Economic Time Series," Cowles Foundation Discussion Papers 1002, Cowles Foundation for Research in Economics, Yale University.
  654. Pascal St-Amour & Stephen Gordon, 2000. "A Preference Regime Model of Bull and Bear Markets," American Economic Review, American Economic Association, vol. 90(4), pages 1019-1033, September.
  655. Guerdjikova, Ani, 2004. "Evolution of wealth and asset prices in markets with case-based investors," Papers 04-49, Sonderforschungsbreich 504.
  656. Au, Pak Hung, 2016. "Price reaction and disagreement over public signal," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 81-106.
  657. Pierdzioch Christian & Stadtmann Georg, 2010. "Herdenverhalten von Wechselkursprognostikern? / Herd Behavior of Exchange Rate Forecasters?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(4), pages 436-453, August.
  658. Hartzmark, Samuel M. & Solomon, David H., 2013. "The dividend month premium," Journal of Financial Economics, Elsevier, vol. 109(3), pages 640-660.
  659. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  660. Hossain, Monzur, 2009. "Do Currency Regime and Developmental Stage Matter for Real Exchange Rate Volatility? A Cross-Country Analysis," MPRA Paper 24868, University Library of Munich, Germany.
  661. de Resende, Charlene C. & Pereira, Adriano C.M. & Cardoso, Rodrigo T.N. & de Magalhães, A.R. Bosco, 2017. "Investigating market efficiency through a forecasting model based on differential equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 199-212.
  662. Changmo Ahn & George Fane & And Euy-Hoon Suh, 2004. "Forex Dealers‘ Perspectives On Exchange Rate Determination In Korea," Economic Papers, The Economic Society of Australia, vol. 23(2), pages 140-151, 06.
  663. J. Harold Mulherin, 1990. "Regulation, Trading Volume and Stock Market Volatility," Revue Économique, Programme National Persée, vol. 41(5), pages 923-938.
  664. Cars Hommes, 2006. "Interacting Agents in Finance," Tinbergen Institute Discussion Papers 06-029/1, Tinbergen Institute.
  665. Nuriddin Ikromov & Abdullah Yavas, 2012. "Cash Flow Volatility, Prices and Price Volatility: An Experimental Study," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 203-229, January.
  666. Michael C. Jensen, 1987. "The free cash flow theory of takeovers: a financial perspective on mergers and acquisitions and the economy," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 31, pages 102-148.
  667. Eric Zwick & Charles Nathanson & Anthony DeFusco, 2017. "Speculative Dynamics of Prices and Volume," 2017 Meeting Papers 239, Society for Economic Dynamics.
  668. Falk, Barry, 1990. "Time Varying Discount Rates and Rent-Price Ratios In Farmland Markets," ISU General Staff Papers 199006010700001213, Iowa State University, Department of Economics.
  669. repec:eee:dyncon:v:80:y:2017:i:c:p:34-53 is not listed on IDEAS
  670. Friedrich Geiecke & Mark Trede, 2010. "A Direct Test of Rational Bubbles," CQE Working Papers 1310, Center for Quantitative Economics (CQE), University of Muenster.
  671. Egger, Peter & Radulescu, Doina, 2014. "A test of the Bolton–Scheinkman–Xiong hypothesis of how speculation affects the vesting time of options granted to directors," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 511-519.
  672. Wei Long & Dingding Li & Qi Li, 2016. "Testing explosive behavior in the gold market," Empirical Economics, Springer, vol. 51(3), pages 1151-1164, November.
  673. Alexandros SARRIS, 2014. "Options for Developing Countries to Deal with Global Food Commodity Market Volatility," Working Papers P98, FERDI.
  674. Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
  675. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
  676. Cevdet Aydemir, A., 2008. "Risk sharing and counter-cyclical variation in market correlations," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3084-3112, October.
  677. 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.
  678. Bojan Markovic, 2006. "Bank capital channels in the monetary transmission mechanism," Bank of England working papers 313, Bank of England.
  679. DeJong, David N. & Ripoll, Marla, 2007. "Do self-control preferences help explain the puzzling behavior of asset prices?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1035-1050, May.
  680. Shareen Joshi & Mark A. Bedau, 1998. "An Explanation of Generic Behavior in an Evolving Financial Market," Research in Economics 98-12-114e, Santa Fe Institute.
  681. Brooks, Chris & Persand, Gita, 2001. "The trading profitability of forecasts of the gilt-equity yield ratio," International Journal of Forecasting, Elsevier, vol. 17(1), pages 11-29.
  682. Izhakian, Yehuda, 2017. "Expected utility with uncertain probabilities theory," Journal of Mathematical Economics, Elsevier, vol. 69(C), pages 91-103.
  683. Ling-Yun He & Sheng Yang & Wen-Si Xie & Zhi-Hong Han, 2014. "Contemporaneous and Asymmetric Properties in the Price-Volume Relationships in China's Agricultural Futures Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1S), pages 148-166, January.
  684. Chiarella, Carl & Gao, Shenhuai, 2004. "The value of the S&P 500--A macro view of the stock market adjustment process," Global Finance Journal, Elsevier, vol. 15(2), pages 171-196, August.
  685. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
  686. Terrance Odean, 1998. "Volume, Volatility, Price and Profit When All Traders Are Above Average," Finance 9803001, EconWPA.
  687. Sami Gharbi & Jean-Michel Sahut & Frédéric Teulon, 2014. "Research & Development And Volatility Of Equity Returns In The French Market," Working Papers 2014-120, Department of Research, Ipag Business School.
  688. Vives, Xavier, 1996. "Social learning and rational expectations," European Economic Review, Elsevier, vol. 40(3-5), pages 589-601, April.
  689. Bossan, Benjamin & Jann, Ole & Hammerstein, Peter, 2015. "The evolution of social learning and its economic consequences," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 266-288.
  690. Arthur, W.B. & Holland, J.H. & LeBaron, B. & Palmer, R. & Tayler, P., 1996. "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Working papers 9625, Wisconsin Madison - Social Systems.
  691. David Goldbaum, 2000. "Profitability And Market Stability: Fundamentals And Technical Trading Rules," Computing in Economics and Finance 2000 85, Society for Computational Economics.
  692. J. Bradford De Long & Richard Grossman, 1992. "Excess Volatility on the London Stock Market, 1870-1990," J. Bradford De Long's Working Papers _133, University of California at Berkeley, Economics Department.
  693. Taisei Kaizoji & Michiko Miyano, 2016. "Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals," Papers 1607.03205, arXiv.org.
  694. Robert S. Chirinko & Huntley Schaller, 2001. "Business Fixed Investment and "Bubbles": The Japanese Case," American Economic Review, American Economic Association, vol. 91(3), pages 663-680, June.
  695. Nicholas Stern, 2009. "Imperfections in the Economics of Public Policy, Imperfections in Markets, and Climate Change," Working Papers 2009.106, Fondazione Eni Enrico Mattei.
  696. Hart, Oliver D & Kreps, David M, 1986. "Price Destabilizing Speculation," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 927-952, October.
  697. Rambaccussing, Dooruj, 2015. "Revisiting Shiller's excess volatility hypothesis," SIRE Discussion Papers 2015-33, Scottish Institute for Research in Economics (SIRE).
  698. James B. Bullard & George W. Evans & Seppo Honkapohja, 2004. "Near-rational exuberance," Working Papers 2004-025, Federal Reserve Bank of St. Louis.
  699. Masataka Suzuki, 2014. "Hidden persistent disasters and asset prices," Annals of Finance, Springer, vol. 10(3), pages 395-418, August.
  700. Chiang, Raymond & Davidson, Ian & Okunev, John, 1997. "Some further theoretical and empirical implications regarding the relationship between earnings, dividends and stock prices," Journal of Banking & Finance, Elsevier, vol. 21(1), pages 17-35, January.
  701. Cheolbeom Park, 2001. "Stock Returns and the Dispersion in Earnings Forecasts," Departmental Working Papers wp0117, National University of Singapore, Department of Economics.
  702. Manzan, S., 2003. "Nonlinear Mean Reversion in Stock Prices," CeNDEF Working Papers 03-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  703. Loukas Balafoutas & Simon Czermak & Marc Eulerich & Helena Fornwagner, 2017. "Incentives for dishonesty: An experimental study with internal auditors," Working Papers 2017-06, Faculty of Economics and Statistics, University of Innsbruck.
  704. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  705. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
  706. 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.
  707. Tu, Anthony H. & Wang, Ming-Chun, 2007. "The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 198-211, April.
  708. Abbigail J. Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2003. "Subjective probabilities: psychological evidence and economic applications," Working Papers 2003-009, Federal Reserve Bank of St. Louis.
  709. Gharbi, Sami & Sahut, Jean-Michel & Teulon, Frédéric, 2014. "R&D investments and high-tech firms' stock return volatility," Technological Forecasting and Social Change, Elsevier, vol. 88(C), pages 306-312.
  710. Dragota, Victor & Mitrica, Eugen, 2004. "Emergent capital markets' efficiency: The case of Romania," European Journal of Operational Research, Elsevier, vol. 155(2), pages 353-360, June.
  711. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  712. Franses, Philip Hans, 2016. "A simple test for a bubble based on growth and acceleration," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 160-169.
  713. Kentaro Iwatsubo & Clinton Watkins & Tao Xu, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York," Discussion Papers 1715, Graduate School of Economics, Kobe University.
  714. Baghestanian, Sascha & Walker, Todd B., 2014. "Thar she blows again: Reducing anchoring rekindles bubbles," SAFE Working Paper Series 54, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  715. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
  716. Manuel Santos & Miguel Iraola, 2014. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2014 Meeting Papers 559, Society for Economic Dynamics.
  717. Frydman, R. & Goldberg, M.D., 2003. "Imperfect Knowledge and Asset Price Dynamics: Modeling the Forecasting of Rational Agents, Dynamic Prospect Theory and Uncertainty Premia on Foreign Exchange," Working Papers 03-03, C.V. Starr Center for Applied Economics, New York University.
  718. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  719. Biais, Bruno & Shadur, Raphael, 2000. "Darwinian selection does not eliminate irrational traders," European Economic Review, Elsevier, vol. 44(3), pages 469-490, March.
  720. Richard H. Thaler, 2008. "Commentary—Mental Accounting and Consumer Choice: Anatomy of a Failure," Marketing Science, INFORMS, vol. 27(1), pages 12-14, 01-02.
  721. Bradley Jones, 2015. "Asset Bubbles; Re-thinking Policy for the Age of Asset Management," IMF Working Papers 15/27, International Monetary Fund.
  722. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(4), pages 324-346, September.
  723. Majumder, Debasish, 2013. "Towards an efficient stock market: Empirical evidence from the Indian market," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 572-587.
  724. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
  725. Christophe Faugere & Julian Van Erlach, 2003. "A General Theory of Stock Market Valuation and Return," Finance 0311005, EconWPA, revised 17 May 2004.
  726. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
  727. 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 1-36, December.
  728. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
  729. Billmeier, Andreas & Massa, Isabella, 2008. "Go long or short in pyramids? News from the Egyptian stock market," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 949-970, December.
  730. Masini, Andrea & Menichetti, Emanuela, 2012. "The impact of behavioural factors in the renewable energy investment decision making process: Conceptual framework and empirical findings," Energy Policy, Elsevier, vol. 40(C), pages 28-38.
  731. Chen, Carl R. & Mohan, Nancy J. & Steiner, Thomas L., 1999. "Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 897-924, June.
  732. Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
  733. Xiaoji Lin & Ding Luo & Andres Donangelo & Frederico Belo, 2017. "Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series," 2017 Meeting Papers 885, Society for Economic Dynamics.
  734. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  735. Fukuta, Yuichi, 1998. "A simple discrete-time approximation of continuous-time bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 937-954, June.
  736. 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.
  737. Thomas A. Rietz, 1991. "Arbitrage," Discussion Papers 958, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  738. Black, Angela & Fraser, Patricia, 2002. "Stock market short-termism--an international perspective," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 135-158, April.
  739. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  740. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
  741. Roselyne Joyeux & George Milunovich, 2015. "Speculative bubbles, financial crises and convergence in global real estate investment trusts," Applied Economics, Taylor & Francis Journals, vol. 47(27), pages 2878-2898, June.
  742. Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
  743. Georgy Chabakauri, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  744. repec:spr:cliomt:v:11:y:2017:i:3:d:10.1007_s11698-016-0146-5 is not listed on IDEAS
  745. Ctirad Slavik, 2011. "Asset Prices and Business Cycles with Financial Frictions," 2011 Meeting Papers 587, Society for Economic Dynamics.
  746. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
  747. repec:spr:joecth:v:64:y:2017:i:1:d:10.1007_s00199-016-0969-0 is not listed on IDEAS
  748. Shin, Kwanho, 1997. "Inter- and Intrasectoral Shocks: Effects on the Unemployment Rate," Journal of Labor Economics, University of Chicago Press, vol. 15(2), pages 376-401, April.
  749. Sasidharan, Anand, 2009. "Does seasonality persists in Indian stock markets?," MPRA Paper 24185, University Library of Munich, Germany, revised Aug 2010.
  750. Cuthbertson, K. & Gasparro, D., 1995. "Fixed investment decisions in UK manufacturing: The importance of Tobin's Q, output and debt," European Economic Review, Elsevier, vol. 39(5), pages 919-941, May.
  751. Dominique, C-Rene & Rivera-Solis, Luis Eduardo & Des Rosiers, Francois, 2010. "Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index," MPRA Paper 22604, University Library of Munich, Germany.
  752. Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, Oxford University Press, vol. 127(2), pages 645-700.
  753. Kenneth J. Arrow & B. Douglas Bernheim & Martin S. Feldstein & Daniel L. McFadden & James M. Poterba & Robert M. Solow, 2011. "100 Years of the American Economic Review : The Top 20 Articles," American Economic Review, American Economic Association, vol. 101(1), pages 1-8, February.
  754. James B. Bullard & George W. Evans & Seppo Honkapohja, 2004. "Near-rational exuberance," Working Papers 2004-025, Federal Reserve Bank of St. Louis.
  755. Su-Ling TSAI & Hsien-Hung KUNG & Kai-yin Allison HAGA, 2015. "Testing for Multiple Bubbles in the 35 Large and Medium Cities of Real Estate Price in China," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(605), W), pages 275-290, Winter.
  756. Ralf Becker & Urs Fischbacher & Thorsten Hens, "undated". "Soft Landing of a Stock Market Bubble, An Experimental Study," IEW - Working Papers 090, Institute for Empirical Research in Economics - University of Zurich.
  757. Gregory James & Michail Karoglou, 2010. "Financial liberalization and stock market volatility: the case of Indonesia," Applied Financial Economics, Taylor & Francis Journals, vol. 20(6), pages 477-486.
  758. Kwok-Wah Fung, Alexander & Lam, Kin, 2004. "Overreaction of index futures in Hong Kong," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 331-351, June.
  759. Doran, James & Jiang, Danling & Peterson, David, 2007. "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," MPRA Paper 4995, University Library of Munich, Germany.
  760. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
  761. Tuttle, Brad & Coller, Maribeth & Burton, F. Greg, 1997. "An examination of market efficiency: Information order effects in a laboratory market," Accounting, Organizations and Society, Elsevier, vol. 22(1), pages 89-103, January.
  762. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  763. Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2012. "High quality topic extraction from business news explains abnormal financial market volatility," UTokyo Price Project Working Paper Series 002, University of Tokyo, Graduate School of Economics.
  764. Chan, Kalok & McQueen, Grant & Thorley, Steven, 1998. "Are there rational speculative bubbles in Asian stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 125-151, May.
  765. Luca Bindelli, 2005. "Testing the New Keynesian Phillips curve: a frequency domain approach," Money Macro and Finance (MMF) Research Group Conference 2005 69, Money Macro and Finance Research Group.
  766. repec:ipg:wpaper:2013-036 is not listed on IDEAS
  767. Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston.
  768. Hiremath, Gourishankar S. & Narayan, Seema, 2016. "Testing the adaptive market hypothesis and its determinants for the Indian stock markets," Finance Research Letters, Elsevier, vol. 19(C), pages 173-180.
  769. Gunduz Caginalp & David Porter & Li Hao, 2011. "Asset Market Reactions to News: An Experimental Study," Working Papers 11-15, Chapman University, Economic Science Institute.
  770. Lawrence H. Summers, 1982. "Do We Really Know That Financial Markets Are Efficient?," NBER Working Papers 0994, National Bureau of Economic Research, Inc.
  771. Culp, Christopher L. & Nozawa, Yoshio & Veronesi, Pietro, 2014. "Option-Based Credit Spreads," CEPR Discussion Papers 10318, C.E.P.R. Discussion Papers.
  772. Ogonna Nneji & Chris Brooks & Charles Ward, 2011. "Housing and equity bubbles: Are they contagious to REITs?," ICMA Centre Discussion Papers in Finance icma-dp2011-11, Henley Business School, Reading University.
  773. Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
  774. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.
  775. Brennan, Michael J, 2004. "How Did It Happen?," University of California at Los Angeles, Anderson Graduate School of Management qt1047x6kv, Anderson Graduate School of Management, UCLA.
  776. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2016. "Non-linearities in financial bubbles: Theory and Bayesian evidence from S&P500," Journal of Financial Stability, Elsevier, vol. 24(C), pages 61-70.
  777. Krebs, Tom, 1999. "Information and asset prices in complete markets exchange economies," Economics Letters, Elsevier, vol. 65(1), pages 75-83, October.
  778. repec:eee:ecmode:v:64:y:2017:i:c:p:567-588 is not listed on IDEAS
  779. Diks, C.G.H. & Weide, R. van der, 2003. "Heterogeneity as a natural source of randomness," CeNDEF Working Papers 03-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  780. Chen, Chen & Chen, Rong & Bassett, Gilbert W., 2007. "Fundamental indexation via smoothed cap weights," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3486-3502, November.
  781. Chryssi Giannitsarou, 2003. "Heterogeneous Learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 885-906, October.
  782. Glaeser, Edward L. & Nathanson, Charles G., 2015. "Housing Bubbles," Handbook of Regional and Urban Economics, Elsevier.
  783. Elettra Agliardi & Rainer Andergassen, 2011. "(S,s)-adjustment Strategies and Hedging under Markovian Dynamics," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 36(2), pages 112-131, December.
  784. John B. Carlson & Eduard A. Pelz & Mark E. Wohar, 2001. "Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests," Working Paper 0113, Federal Reserve Bank of Cleveland.
  785. Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martinez-Garcia & Adrienne Mack & Valerie Crossman, 2014. "Episodes of exuberance in housing markets," Working Papers 64908732, Lancaster University Management School, Economics Department.
  786. Chulsoo Kim, 2004. "Is There Irrational Exuberance?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(2), pages 65-80, December.
  787. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  788. Clark Wheatley & Robert Brown & George Johnson, 2005. "Line-of-Business Disclosures and Spin-Off Announcement Returns," Review of Quantitative Finance and Accounting, Springer, vol. 24(3), pages 277-293, May.
  789. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
  790. Diego Alonso Agudelo Rueda & Milena Castaño, 2011. "Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999 -2008," DOCUMENTOS DE TRABAJO CIEF 010663, UNIVERSIDAD EAFIT.
  791. Robert E. Hall, 1989. "Spontaneous Volatility of Output and Investment," NBER Working Papers 3144, National Bureau of Economic Research, Inc.
  792. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.
  793. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  794. Cees Diks & Roy van der Weide, 2003. "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers 03-073/1, Tinbergen Institute.
  795. Maher Kooli & Jean-Marc Suret, 2001. "The Underpricing of Initial Public Offerings: Further Canadian Evidence," CIRANO Working Papers 2001s-50, CIRANO.
  796. Rambaccussing, Dooruj, 2015. "Revisiting Shiller’s excess volatility hypothesis," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-82, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  797. Mariana Mazzucato, 2006. "Innovation and Stock Prices: a Review of some Recent Work," Revue de l'OFCE, Presses de Sciences-Po, vol. 97(5), pages 159-179.
  798. Bo Sun, 2011. "Limited market participation and asset prices in the presence of earnings management," International Finance Discussion Papers 1019, Board of Governors of the Federal Reserve System (U.S.).
  799. Dominique Pepin, 2010. "La BCE réagit-elle au prix des actifs financiers ?," Working Papers hal-00963626, HAL.
  800. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
  801. Singh, Ajit, 1995. "Emerging markets, industrialisation and economic development," MPRA Paper 54985, University Library of Munich, Germany.
  802. Brett Olsen & Jeffrey Stokes, 2015. "Is Farm Real Estate The Next Bubble?," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 355-376, April.
  803. Hans Joachim Voth, 2001. "Inflation, political instability and stockmarket volatility in interwar Germany," Economics Working Papers 535, Department of Economics and Business, Universitat Pompeu Fabra.
  804. Gaffeo, Edoardo & Molinari, Massimo, 2017. "Taxing financial transactions in fundamentally heterogeneous markets," Economic Modelling, Elsevier, vol. 64(C), pages 322-333.
  805. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Melvin, Michael, 2014. "Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 163-181.
  806. Mouck, T., 1998. "Capital markets research and real world complexity: The emerging challenge of chaos theory," Accounting, Organizations and Society, Elsevier, vol. 23(2), pages 189-203, February.
  807. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  808. Torsten M Sloek & Hali J Edison, 2001. "New Economy Stock Valuations and Investment in the 1990s," IMF Working Papers 01/78, International Monetary Fund.
  809. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
  810. Mohd Alnajjar, 2013. "Investor Based Psychological Decision Making Model," Far East Journal of Psychology and Business, Far East Research Centre, vol. 11(4), pages 47-56, June.
  811. Paul Scanlon, 2008. "New Goods and Asset Prices," 2008 Meeting Papers 927, Society for Economic Dynamics.
  812. John B. Shoven, 1987. "The Tax Consequences of Share Repurchases and Other Non-Dividend Cash Payments to Equity Owners," NBER Chapters,in: Tax Policy and the Economy, Volume 1, pages 29-54 National Bureau of Economic Research, Inc.
  813. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, vol. 109(2), pages 195-237, August.
  814. Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.
  815. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? evidence from survey data," EconomiX Working Papers 2016-19, University of Paris Nanterre, EconomiX.
  816. Thorsten Lübbers, 2009. "Is Cartelisation Profitable? A Case Study of the Rhenish Westphalian Coal Syndicate, 1893-1913," Working Paper Series of the Max Planck Institute for Research on Collective Goods 2009_09, Max Planck Institute for Research on Collective Goods.
  817. Axioglou Christos & Skouras Spyros, 2015. "Asset pricing with flexible beliefs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 415-443, September.
  818. Anke Gerbery & Thorsten Hensz & Bodo Vogtx, 2010. "Rational Investor Sentimentina Repeated Stochastic Game with Imperfect Monitoring," Post-Print hal-00911824, HAL.
  819. Joseph Gyourko, 2009. "Understanding Commercial Real Estate: Just How Different from Housing Is It?," NBER Working Papers 14708, National Bureau of Economic Research, Inc.
  820. Bjornson, Bruce & Hong Shik Kim & Lee, Kiseok, 1999. "Low and high frequency macroeconomic forces in asset pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 77-100.
  821. Georgy Chabakauri, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
  822. 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.
  823. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  824. Crafts, N.F.R. & Mills, T.C., 1990. "British Economic Fluctuations, 1851-1913: A Perspective Based On Growth Theory," The Warwick Economics Research Paper Series (TWERPS) 362, University of Warwick, Department of Economics.
  825. Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 4, pages 1-44.
  826. Ian Davidson & John Okunev & Mohammad Tahir, 1996. "Modelling the Equity Risk Premium in the Long Term," Working Paper Series 59, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  827. Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," DOCUMENTOS DE TRABAJO-CIDSE 011028, UNIVERSIDAD DEL VALLE - CIDSE.
  828. John Simon, 2003. "Three Australian Asset-price Bubbles," RBA Annual Conference Volume,in: Anthony Richards & Tim Robinson (ed.), Asset Prices and Monetary Policy Reserve Bank of Australia.
  829. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Scientific Monographs, Bank of Finland, number 35/2006, 05.
  830. Jukka Ilomäki, 2016. "Risk-Free Rates And Animal Spirits In Financial Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1650011-01 .
  831. Marie-Thérèse Boyer & Ghislain Deleplace & Lucien Gillard, 1992. "A la recherche d'un âge d'or des marchés financiers : intégration et efficience au XVIIIe siècle," Cahiers d'Économie Politique, Programme National Persée, vol. 20(1), pages 33-65.
  832. George-Marios Angeletos & Laurent E. Calvet, 2001. "Incomplete Markets, Growth, and the Business Cycle," Harvard Institute of Economic Research Working Papers 1910, Harvard - Institute of Economic Research.
  833. Kothari, S.P. & Lewellen, Jonathan & Warner, Jerold, 2003. "Stock Returns, Aggregate Earnings Surprises, And Behavioral Finance," Working papers 4284-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  834. Bhattacharya, Utpal, 2003. "The optimal design of Ponzi schemes in finite economies," Journal of Financial Intermediation, Elsevier, vol. 12(1), pages 2-24, January.
  835. Zhiwei Xu & Pengfei Wang & Jianjun Miao, 2013. "A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles," 2013 Meeting Papers 167, Society for Economic Dynamics.
  836. Koji Kotani & Kenta Tanaka & Shunsuke Managi, 2015. "Which performs better under a trader setting, double auction or uniform price auction?," Working Papers SDES-2015-17, Kochi University of Technology, School of Economics and Management, revised May 2015.
  837. Yi-Fang Liu & Wei Zhang & Chao Xu & J{\o}rgen Vitting Andersen & Hai-Chuan Xu, 2013. "Impact of information cost and switching of trading strategies in an artificial stock market," Papers 1311.4274, arXiv.org, revised Jul 2014.
  838. Titman, Sheridan & John Wei, K. C., 1999. "Understanding stock market volatility: The case of Korea and Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 41-66, February.
  839. Vikas Mehrotra & Randall Morck, 2017. "Governance and Stakeholders," NBER Working Papers 23460, National Bureau of Economic Research, Inc.
  840. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  841. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
  842. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Documents de travail du Centre d'Economie de la Sorbonne 14031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  843. Yawen Hudson & Christopher J. Green, 2013. "Born in the USA? Contagious investor sentiment and UK equity returns," Discussion Paper Series 2013_13, Department of Economics, Loughborough University, revised Nov 2013.
  844. Christensen, Bent Jesper & Raahauge, Peter, 2004. "Latent Utility Shocks in a Structural Empirical Asset Pricing Model," Working Papers 2004-7, Copenhagen Business School, Department of Finance.
  845. Malcolm Sawyer, 1998. "The Kaleckian Analysis and the New Mellinium," Macroeconomics 9805001, EconWPA, revised 01 Sep 1998.
  846. Shamsuddin, Abul F. M. & Hillier, John R., 2004. "Fundamental determinants of the Australian price-earnings multiple," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 565-576, November.
  847. R. Glen Donaldson & Mark Kamstra, "undated". "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.
  848. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.