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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. Diks, C.G.H. & Dindo, P.D.E., 2006. "Informational differences and learning in an asset market with boundedly rational agents," CeNDEF Working Papers 06-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Cochrane, John H. & Campbell, John, 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
  3. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York.
  4. Van Norden, S. & Schaller, H., 1996. "Speculative Behaviour, Regime-Switching and Stock Market Crashes," Staff Working Papers 96-13, Bank of Canada.
  5. 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.
  6. Marian Berneburg, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16, Halle Institute for Economic Research.
  7. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
  8. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, 08.
  9. Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," CEPR Discussion Papers 6455, C.E.P.R. Discussion Papers.
  10. Branch, William A. & Evans, George W., 2013. "Bubbles, crashes and risk," Economics Letters, Elsevier, vol. 120(2), pages 254-258.
  11. David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
  12. Hoffmann, Mathias & Krause, Michael U. & Laubach, Thomas, 2012. "Trend growth expectations and US house prices before and after the crisis," Discussion Papers 12/2012, Deutsche Bundesbank, Research Centre.
  13. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-Run Stock Market Outlook: An Update," NBER Working Papers 8221, National Bureau of Economic Research, Inc.
  14. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
  15. 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.
  16. Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies.
  17. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc.
  18. 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.
  19. R. Glen Donaldson & Mark Kamstra, . "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.
  20. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers 1763, Harvard - Institute of Economic Research.
  21. 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.
  22. 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.
  23. 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.
  24. Ernst Fehr & Jean-Robert Tyran, 2005. "Individual Irrationality and Aggregate Outcomes," Journal of Economic Perspectives, American Economic Association, vol. 19(4), pages 43-66, Fall.
  25. 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.
  26. Nelson C. Mark & S.G. Cecchetti & P-s. Lam, 1997. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 017, Ohio State University, Department of Economics.
  27. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  28. 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.
  29. J. B. Heaton & N. G. Polson & J. H. Witte, 2015. "Why Indexing Works," Papers 1510.03550, arXiv.org.
  30. 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.
  31. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  32. 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.
  33. 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.
  34. 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.
  35. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
  36. 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.
  37. Owen Lamont, . "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  38. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  39. 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.
  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. Nikola Milosevic, 2016. "Equity forecast: Predicting long term stock price movement using machine learning," Papers 1603.00751, arXiv.org.
  42. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  43. Tomoyuki Nakajima, 2003. "Asset Price Fluctuations in Japan: 1980-2000," Working Papers 2003-25, Brown University, Department of Economics.
  44. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation for Research in Economics, Yale University.
  45. 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.
  46. 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.
  47. Granziera, Eleonora & Kozicki, Sharon, 2015. "House price dynamics: Fundamentals and expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 152-165.
  48. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," Swiss Finance Institute Research Paper Series 06-19, Swiss Finance Institute.
  49. Gregory C. Chow, 2003. "Shanghai Stock Prices as Determined by the Present Value Model," Finance 0306003, EconWPA.
  50. 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.
  51. 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.
  52. Nicholas Barberis & Ming Huang & Tano Santos, 1999. "Prospect Theory and Asset Prices," NBER Working Papers 7220, National Bureau of Economic Research, Inc.
  53. 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.
  54. Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute.
  55. 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.
  56. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper Series 2013-03, Federal Reserve Bank of San Francisco.
  57. 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.
  58. 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.
  59. 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.
  60. Steinbacher, Matjaz, 2009. "Acceptable Risk in a Portfolio Analysis," MPRA Paper 13569, University Library of Munich, Germany.
  61. 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.
  62. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 49-70.
  63. 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.
  64. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.
  65. 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.
  66. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.
  67. 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.
  68. Gilchrist, Simon & Leahy, John V., 2002. "Monetary policy and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 75-97, January.
  69. Guglielmo D’Amico, 2013. "A semi-Markov approach to the stock valuation problem," Annals of Finance, Springer, vol. 9(4), pages 589-610, November.
  70. repec:prg:jnlpep:v:2006:y:2006:i:4:id:291:p:315-349 is not listed on IDEAS
  71. 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.
  72. 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.
  73. Anwar M. Shaikh, 1998. "The Stock Market and the Corporate Sector: A Profit-Based Approach," Macroeconomics 9811007, EconWPA.
  74. Steinbacher, Matjaz, 2008. "Stochastic Processes in Finance and Behavioral Finance," MPRA Paper 13603, University Library of Munich, Germany.
  75. 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.
  76. 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.
  77. Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, EconWPA.
  78. 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.
  79. Henri Pagès, 1999. "A note on the Gordon growth model with nonstationary dividend growth," BIS Working Papers 75, Bank for International Settlements.
  80. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
  81. 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.
  82. De Santis Massimiliano, 2010. "Demystifying the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-33, May.
  83. 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.
  84. 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.
  85. 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.
  86. 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.
  87. 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.
  88. 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.
  89. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.
  90. 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.
  91. Magomet Yandiev, 2011. "The Damped Fluctuations as a Base of Market Quotations," Working Papers 0003, Moscow State University, Faculty of Economics.
  92. Sampson, Michael, 2003. "New Eras and Stock Market Bubbles," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 297-315, September.
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