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Citations for "Why Does the Stock Market Fluctuate?"

by Robert B. Barsky & J. Bradford De Long

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  1. Andreas Fuster & Benjamin Hebert & David Laibson, 2011. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 1-48 National Bureau of Economic Research, Inc.
  2. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation for Research in Economics, Yale University.
  3. 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.
  4. Pietro Dindo & Cees Diks, 2007. "Informational differences and learning in an asset market with boundedly rational agents," Working Papers wp07-06, Warwick Business School, Finance Group.
  5. Binswanger, Mathias, 2000. "Stock market booms and real economic activity: Is this time different?," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 387-415, October.
  6. Falato, Antonio, 2009. "Happiness maintenance and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1247-1262, June.
  7. 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.
  8. Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
  9. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
  10. Ernst Fehr & Jean-Robert Tyran, . "Individual Irrationality and Aggregate Outcomes," IEW - Working Papers 252, Institute for Empirical Research in Economics - University of Zurich.
  11. 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.
  12. William A. Branch & George W. Evans, 2013. "Bubbles, Crashes and Risk," CDMA Working Paper Series 201306, Centre for Dynamic Macroeconomic Analysis.
  13. Steinbacher, Matjaz, 2009. "Acceptable Risk in a Portfolio Analysis," MPRA Paper 13569, University Library of Munich, Germany.
  14. Reitz, Stefan, 2006. "On the predictive content of technical analysis," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 121-137, August.
  15. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
  16. Hoffmann, Mathias & Krause, Michael U. & Laubach, Thomas, 2012. "Trend growth expectations and U.S. house prices before and after the crisis," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 394-409.
  17. Gilchrist, Simon & Leahy, John V., 2002. "Monetary policy and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 75-97, January.
  18. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
  19. Nicholas BARBERIS & Ming HUANG & Tano SANTOS, 2000. "Prospect Theory and Asset Prices," FAME Research Paper Series rp16, International Center for Financial Asset Management and Engineering.
  20. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  21. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  22. 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.
  23. 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.
  24. Simon Gilchrist & Masashi Saito, 2008. "Expectations, Asset Prices, and Monetary Policy: The Role of Learning," NBER Chapters, in: Asset Prices and Monetary Policy, pages 45-102 National Bureau of Economic Research, Inc.
  25. Anwar M. Shaikh, 1998. "The Stock Market and the Corporate Sector: A Profit-Based Approach," Macroeconomics 9811007, EconWPA.
  26. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
  27. Nakajima, Tomoyuki, 2008. "Asset price fluctuations in Japan: 1980-2000," Japan and the World Economy, Elsevier, vol. 20(1), pages 129-153, January.
  28. Johann Burgstaller, 2002. "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers 2002-07, Department of Economics, Johannes Kepler University Linz, Austria.
  29. Van Norden, S. & Schaller, H., 1996. "Speculative Behaviour, Regime-Switching and Stock Market Crashes," Staff Working Papers 96-13, Bank of Canada.
  30. John Beshears & James J. Choi & Andreas Fuster & David Laibson & Brigitte C. Madrian, 2013. "What Goes Up Must Come Down? Experimental Evidence on Intuitive Forecasting," American Economic Review, American Economic Association, vol. 103(3), pages 570-74, May.
  31. Mejra Festić, 2006. "Procyclicality of Financial and Real Sector in Transition Economies," Prague Economic Papers, University of Economics, Prague, vol. 2006(4), pages 315-349.
  32. David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
  33. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers 1295, Cowles Foundation for Research in Economics, Yale University.
  34. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
  35. 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.
  36. Nikola Milosevic, 2016. "Equity forecast: Predicting long term stock price movement using machine learning," Papers 1603.00751, arXiv.org.
  37. 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.
  38. Owen Lamont, . "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  39. 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.
  40. Michele Boldrin & Adrian Peralta-Alva, 2009. "What happened to the U.S. stock market? accounting for the past 50 years," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 627-646.
  41. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group.
  42. Stephen G. Cecchetti & Pok-Sang Lam & Nelson Mark, 1998. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 98-04, Ohio State University, Department of Economics.
  43. Kevin J. Lansing, 2007. "Rational and Near-Rational Bubbles Without Drift," 2007 Meeting Papers 970, Society for Economic Dynamics.
  44. J. B. Heaton & N. G. Polson & J. H. Witte, 2015. "Why Indexing Works," Papers 1510.03550, arXiv.org.
  45. Salois, Matthew J. & Moss, Charles B., 2011. "A direct test of hyperbolic discounting using market asset data," Economics Letters, Elsevier, vol. 112(3), pages 290-292, September.
  46. Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2013. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," AMSE Working Papers 1311, Aix-Marseille School of Economics, Marseille, France, revised 26 Feb 2013.
  47. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
  48. Adrian, Tobias & Franzoni, Francesco, 2009. "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September.
  49. Magomet Yandiev, 2011. "The Damped Fluctuations as a Base of Market Quotations," Working Papers 0003, Moscow State University, Faculty of Economics.
  50. John B. Carlson & Kevin H. Sargent, 1997. "The recent ascent of stock prices: can it be explained by earnings growth or other fundamentals?," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 2-12.
  51. Madsen, J. B. & Milas, C., 2003. "The price-dividend relationship in inflationary and deflationary regimes," Working Papers 03/05, Department of Economics, City University London.
  52. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.
  53. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  54. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
  55. Bakker, L. & Hare, W. & Khosravi, H. & Ramadanovic, B., 2010. "A social network model of investment behaviour in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1223-1229.
  56. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
  57. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
  58. Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
  59. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
  60. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.
  61. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
  62. 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.
  63. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  64. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
  65. Balke, Nathan S. & Wohar, Mark E., 2000. "Low frequency movements in stock prices: a state space decomposition," Working Papers 0001, Federal Reserve Bank of Dallas, revised 01 May 2001.
  66. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare
    [The Essentials of the Analysis of Financial Time Series]
    ," MPRA Paper 67175, University Library of Munich, Germany.
  67. Gregory C. Chow, 2003. "Shanghai Stock Prices as Determined by the Present Value Model," Finance 0306003, EconWPA.
  68. Henri Pagès, 1999. "A note on the Gordon growth model with nonstationary dividend growth," BIS Working Papers 75, Bank for International Settlements.
  69. Daniel L. Tortorice, 2014. "Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks," Working Papers 70, Brandeis University, Department of Economics and International Businesss School.
  70. Marian Berneburg, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16, Halle Institute for Economic Research.
  71. Boucher, Christophe, 2007. "Asymmetric adjustment of stock prices to their fundamental value and the predictability of US stock returns," Economics Letters, Elsevier, vol. 95(3), pages 339-347, June.
  72. Berneburg, Marian, 2007. "Systematic Mispricing in European Equity Prices?," IWH Discussion Papers 6/2007, Halle Institute for Economic Research (IWH).
  73. Steinbacher, Matjaz, 2008. "Stochastic Processes in Finance and Behavioral Finance," MPRA Paper 13603, University Library of Munich, Germany.
  74. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  75. Kawakami, Kei, 2016. "Market size matters: A model of excess volatility in large markets," Journal of Financial Markets, Elsevier, vol. 28(C), pages 24-45.
  76. Eleonora Granziera & Sharon Kozocki, 2012. "House Price Dynamics: Fundamentals and Expectations," Staff Working Papers 12-12, Bank of Canada.
  77. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 522, University of California, Davis, Department of Economics.
  78. 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.
  79. Guglielmo D’Amico, 2013. "A semi-Markov approach to the stock valuation problem," Annals of Finance, Springer, vol. 9(4), pages 589-610, November.
  80. Sampson, Michael, 2003. "New Eras and Stock Market Bubbles," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 297-315, September.
  81. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
  82. Berneburg, Marian, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16/2006, Halle Institute for Economic Research (IWH).
  83. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  84. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.
  85. 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.
  86. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 125-157.
  87. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
  88. Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2008. "Permanent and transitory components of GDP and stock prices: further analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 105-120.
  89. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 49-70.
  90. Bulkley, George & Taylor, Nick, 1996. "A cross-section test of the present value model," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 295-306, February.
  91. Bidder, Rhys & Dew-Becker, Ian, 2014. "Long-run risk is the worst-case scenario: ambiguity aversion and non-parametric estimation of the endowment process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
  92. Madsen, Jakob B., 2002. "The share market boom and the recent disinflation in the OECD countries: the tax-effects, the inflation-illusion and the risk-aversion hypotheses reconsidered1," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 115-141.
  93. De Santis Massimiliano, 2010. "Demystifying the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-33, May.
  94. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
  95. repec:zbw:iwhdps:16-06 is not listed on IDEAS
  96. Mark Kamstra, 2001. "Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com”," FRB Atlanta Working Paper 2001-21, Federal Reserve Bank of Atlanta.
  97. R. Glen Donaldson & Mark Kamstra, . "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.
  98. Brennan, Michael & Xia, Yihong, 1997. "Stock Price Volatility, Learning, and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3zw2w634, Anderson Graduate School of Management, UCLA.
  99. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
  100. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
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