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Citations for "Variance Bounds Tests and Stock Price Valuation Models"

by Kleidon, Allan W

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  1. Franklin Allen & Gary Gorton, 1991. "Rational Finite Bubbles," NBER Working Papers 3707, National Bureau of Economic Research, Inc.
  2. 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.
  3. Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
  4. 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.
  5. R. Glen Donaldson & Mark Kamstra, . "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.
  6. 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.
  7. Marian Berneburg, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16, Halle Institute for Economic Research.
  8. B. Ravikumar & Enchuan Shao, 2005. "Search Frictions and Asset Price Volatility," 2005 Meeting Papers 227, Society for Economic Dynamics.
  9. Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
  10. Thomas A. Rietz, 1991. "Arbitrage," Discussion Papers 958, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  11. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
  12. 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.
  13. 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.
  14. Stephen J. Turnovsky, 1989. "The Term Structure of Interest Rates and the Effects of Macroeconomic Policy," NBER Working Papers 2902, National Bureau of Economic Research, Inc.
  15. Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
  16. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc.
  17. 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.
  18. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
  19. stanley c. w. salvary, 2005. "The Accounting Variable And Stock Price Determination," Finance 0502011, EconWPA.
  20. Andrew J. Patton & Michela Verardo, 2009. "Does beta move with news?: Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics 24421, London School of Economics and Political Science, LSE Library.
  21. 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.
  22. N. Gregory Mankiw & David H. Romer & Matthew D. Shapiro, 1989. "Stock Market Forecastability and Volatility: A Statistical Appraisal," NBER Working Papers 3154, National Bureau of Economic Research, Inc.
  23. 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.
  24. 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.
  25. Charles Engel, 2004. "Some New Variance Bounds for Asset Prices," NBER Working Papers 10981, National Bureau of Economic Research, Inc.
  26. John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
  27. Chris Brooks & Apostolos Katsaris, 2006. "Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?," ICMA Centre Discussion Papers in Finance icma-dp2006-07, Henley Business School, Reading University.
  28. Michaelides, Panayotis G. & Tsionas, Efthymios & Konstantakis, Konstantinos, 2016. "Financial Bubble Detection : A Non-Linear Method with Application to S&P 500," MPRA Paper 74477, University Library of Munich, Germany.
  29. 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.
  30. Robert B. Barsky & J. Bradford De Long, 1992. "Why Does the Stock Market Fluctuate?," NBER Working Papers 3995, National Bureau of Economic Research, Inc.
  31. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
  32. 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.
  33. 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.
  34. Schotman, Peter C., 2001. "When units roots matter: excess volatility and excess smoothness of long-term interest rates," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 669-694, December.
  35. 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.
  36. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-80.
  37. 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.
  38. Chen, Chung & Wu, Chunchi, 1999. "The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 29-58, January.
  39. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
  40. Levine, Ross & Zervos, Sara, 1996. "Stock markets, banks, and economic growth," Policy Research Working Paper Series 1690, The World Bank.
  41. Stephen F. LeRoy, 1990. "Capital market efficiency: an update," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-40.
  42. Lansing, Kevin J., 2016. "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, vol. 28(C), pages 132-148.
  43. 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.
  44. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are exchange rates excessively volatile? And what does "excessively volatile" mean, anyway?," Research Paper 9601, Federal Reserve Bank of New York.
  45. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  46. Lucy F. Ackert & William C. Hunter, 2000. "An empirical examination of the price-dividend relation with dividend management," Working Paper Series WP-00-22, Federal Reserve Bank of Chicago.
  47. 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.
  48. repec:eme:ajbpps:v:23:y:2008:i:2:p:17-26 is not listed on IDEAS
  49. 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.
  50. Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," DOCUMENTOS DE TRABAJO-CIDSE 011028, UNIVERSIDAD DEL VALLE - CIDSE.
  51. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  52. Voth, Hans-Joachim, 2002. "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers 3254, C.E.P.R. Discussion Papers.
  53. 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.
  54. John Y. Campbell & Robert J. Shiller, 1988. "Interpreting Cointegrated Models," NBER Working Papers 2568, National Bureau of Economic Research, Inc.
  55. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  56. 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.
  57. 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.
  58. 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.
  59. Nandini Srivastava & Stephen Satchell, 2012. "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance 1209, Birkbeck, Department of Economics, Mathematics & Statistics.
  60. 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.
  61. Wihlborg, Clas, 1990. "The incentive to acquire information and financial market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 13(3), pages 347-365, June.
  62. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
  63. Crockett, Jean A., 1998. "Rational expectations, inflation and the nominal interest rate," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 349-363.
  64. Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
  65. 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.
  66. Juho Kanniainen, 2009. "Can properly discounted projects follow geometric Brownian motion?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 435-450, December.
  67. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
  68. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890, arXiv.org.
  69. Berneburg, Marian, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16/2006, Halle Institute for Economic Research (IWH).
  70. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, EconWPA.
  71. repec:zbw:iwhdps:16-06 is not listed on IDEAS
  72. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  73. 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.
  74. 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.
  75. Saul Lach & Mark Schankerman, 1987. "The Interaction Between Capital Investment and R&D in Science-Based Firms," NBER Working Papers 2377, National Bureau of Economic Research, Inc.
  76. George A. Akerlof, 2003. "Behavioral Macroeconomics and Macroeconomic Behavior," The American Economist, Omicron Delta Epsilon, vol. 47(1), pages 25-47, March.
  77. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  78. 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.
  79. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  80. Terrance Odean, 1998. "Volume, Volatility, Price and Profit When All Traders Are Above Average," Finance 9803001, EconWPA.
  81. Smoluk, H. J., 1999. "Excess long real rate volatility," Journal of Multinational Financial Management, Elsevier, vol. 9(2), pages 155-176, March.
  82. Eugene N. White & Peter Rappoport, 1994. "The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much?," NBER Working Papers 4627, National Bureau of Economic Research, Inc.
  83. John Y. Campbell & Robert J. Shiller, 1988. "The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study," NBER Technical Working Papers 0067, National Bureau of Economic Research, Inc.
  84. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," FRB Atlanta Working Paper 2003-4, Federal Reserve Bank of Atlanta.
  85. 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.
  86. Carlos, Ann M. & Moyen, Nathalie & Hill, Jonathan, 2002. "Royal African Company Share Prices during the South Sea Bubble," Explorations in Economic History, Elsevier, vol. 39(1), pages 61-87, January.
  87. Djeutem, Edouard & Kasa, Kenneth, 2013. "Robustness and exchange rate volatility," Journal of International Economics, Elsevier, vol. 91(1), pages 27-39.
  88. Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
  89. 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.
  90. 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.
  91. 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.
  92. repec:bbz:fcpbbr:v:9:y:2012:i:4:p:51-86 is not listed on IDEAS
  93. Berneburg, Marian, 2007. "Systematic Mispricing in European Equity Prices?," IWH Discussion Papers 6/2007, Halle Institute for Economic Research (IWH).
  94. Margaret Bray & Giovanni Marseguerra, 2002. "Divdends and Equity Prices: The Variance Trade Off," FMG Discussion Papers dp413, Financial Markets Group.
  95. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  96. Nongnuch Tantisantiwong, 2004. "Theoretical moment restrictions of commodity prices," Money Macro and Finance (MMF) Research Group Conference 2004 19, Money Macro and Finance Research Group.
  97. 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.
  98. 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.
  99. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  100. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  101. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
  102. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
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