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Citations for "Permanent and Temporary Components of Stock Prices"

by Fama, Eugene F & French, Kenneth R

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  1. John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc.
  2. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
  3. Nicolaas Groenewold & Mohamed Ariff, 1998. "The Effects of De-Regulation on Share-Market Efficiency in the Asia-Pacific," International Economic Journal, Taylor & Francis Journals, vol. 12(4), pages 23-47.
  4. Benth, Fred Espen & Koekebakker, Steen, 2015. "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, vol. 52(PA), pages 104-117.
  5. Koong, C.S. & Tsui, Albert K. & Chan, W.S., 1997. "On tests for long memory in Pacific Basin stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 445-449.
  6. Maria Rosa Borges, 2010. "Efficient market hypothesis in European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 711-726.
  7. Saumitra, Bhaduri, 2012. "Applying approximate entropy (ApEn) to speculative bubble in the stock market," MPRA Paper 38015, University Library of Munich, Germany.
  8. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
  9. 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 703-38, August.
  10. 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.
  11. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Research Institute for Market Economy, Sogang University.
  12. Charles, Amélie & Darné, Olivier, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Economic Systems, Elsevier, vol. 33(2), pages 117-126, June.
  13. Charles, Amélie & Darné, Olivier, 2009. "The efficiency of the crude oil markets: Evidence from variance ratio tests," Energy Policy, Elsevier, vol. 37(11), pages 4267-4272, November.
  14. William Barnett & Alfredo Medio & Apostolos Serletis, 2012. "Nonlinear And Complex Dynamics In Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201223, University of Kansas, Department of Economics, revised Sep 2012.
  15. Ulrike Malmendier & Geoffrey Tate, 2008. "Superstar CEOs," NBER Working Papers 14140, National Bureau of Economic Research, Inc.
  16. Silva, A. Christian & Prange, Richard E., 2007. "Virtual volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 507-516.
  17. 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.
  18. Marc Chesney & Alexander Kempf, 2012. "The value of tradeability," Review of Derivatives Research, Springer, vol. 15(3), pages 193-216, October.
  19. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2014. "Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1147-1157, September.
  20. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  21. 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.
  22. Andrew Ang & Jun Liu, 2007. "Risk, Return and Dividends," NBER Working Papers 12843, National Bureau of Economic Research, Inc.
  23. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, Department of Economics and Business Economics, Aarhus University.
  24. Ekaterini Panopoulou & N. Pittis & S. Kalyvitis, 2006. "Looking far in the past:Revisiting the growth-returns nexus with non-parametric tests," Economics, Finance and Accounting Department Working Paper Series n1660306, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  25. 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.
  26. Joseph Gyourko & Eduardo Morales & Charles Nathanson & Edward Glaeser, 2011. "Housing Dynamics," 2011 Meeting Papers 307, Society for Economic Dynamics.
  27. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics.
  28. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
  29. Kraft, Holger & Munk, Claus & Weiss, Farina, 2016. "Predictors and portfolios over the life cycle," SAFE Working Paper Series 139, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  30. Kim, Inbae & Salemi, Michael K., 2000. "Estimation and simulation of risk premia in equity and foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 561-582, August.
  31. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005. "A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability," Research in International Business and Finance, Elsevier, vol. 19(1), pages 53-70, March.
  32. Claudio Borio, 2003. "Towards a Macroprudential Framework for Financial Supervision and Regulation?," CESifo Economic Studies, CESifo, vol. 49(2), pages 181-215.
  33. John Campbell & Jianping Mei, 1993. "Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk," NBER Working Papers 4329, National Bureau of Economic Research, Inc.
  34. Fuller-Love, N. & Rhys, H. & Tippett, M., 1995. "Harmonic analysis, time series variations and the distributional properties of financial ratios," Omega, Elsevier, vol. 23(4), pages 419-427, August.
  35. Partha Gangopadhyay & Ken Yook & Yoon Shin, 2014. "Insider trading and firm-specific return volatility," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 1-19, July.
  36. Ajayi, Richard A. & Karemera, David, 1996. "A variance ratio test of random walks in exchange rates: Evidence from Pacific Basin economies," Pacific-Basin Finance Journal, Elsevier, vol. 4(1), pages 77-91, May.
  37. William N. Goetzmann & Roger G. Ibbotson & Liang Peng, 2000. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm154, Yale School of Management.
  38. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
  39. 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.
  40. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  41. Ananth Madhavan & David Porter & Daniel Weaver, 2001. "Pre-Trade Transparency," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(17), pages 23-46.
  42. Hafedh Bouakez & Badye Omar Essid & Michel Normandin, 2010. "Stock Returns and Monetary Policy: Are There Any Ties ?," Cahiers de recherche 1026, CIRPEE.
  43. repec:kap:iaecre:v:17:y:2011:i:3:p:258-273 is not listed on IDEAS
  44. Bonomo, Marco & Garcia, Rene, 1996. "Consumption and equilibrium asset pricing: An empirical assessment," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 239-265, September.
  45. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
  46. Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  47. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
  48. repec:eco:journ1:2014-02-4 is not listed on IDEAS
  49. Turvey, Calum G., 2007. "A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 155-165.
  50. Li, George, 2007. "Time-varying risk aversion and asset prices," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 243-257, January.
  51. K. Triantafyllopoulos & G. Montana, 2011. "Dynamic modeling of mean-reverting spreads for statistical arbitrage," Computational Management Science, Springer, vol. 8(1), pages 23-49, April.
  52. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
  53. Mamatzakis, E & Remoundos, P, 2010. "Threshold Cointegration in BRENT crude futures market," MPRA Paper 19978, University Library of Munich, Germany.
  54. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
  55. John Y. Campbell, 1995. "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers 1711, Harvard - Institute of Economic Research.
  56. Narayan, Paresh Kumar & Smyth, Russell, 2007. "Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 152-166, April.
  57. 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.
  58. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September.
  59. Ahmet Sensoy & Benjamin M. Tabak, 2016. "Dynamic Efficiency of Stock Markets and Exchange Rates," Working Paper 32, Research and Business Development Department, Borsa Istanbul.
  60. Albrecht, Peter & Kantar, Cemil, 2003. "Random Walk oder Mean Reversion? : Eine statistische Analyse des Kurs-Gewinn-Verhältnisses für den deutschen Aktienmarkt," Papers 03-31, Sonderforschungsbreich 504.
  61. Rui Albuquerque & Jianjun Miao, . "Advance Information and Asset Prices," Boston University - Department of Economics - Working Papers Series wp2009-017, Boston University - Department of Economics.
  62. Al Janabi, Mazin A.M. & Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2010. "An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 47-54, January.
  63. Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003. "Inventory Information," Working Papers gueconwpa~03-03-33, Georgetown University, Department of Economics.
  64. Karen K. Lewis & Martin D. Evans, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," NBER Working Papers 4134, National Bureau of Economic Research, Inc.
  65. Sydney Ludvigson & Christina H. Paxson, 2001. "Approximation Bias In Linearized Euler Equations," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 242-256, May.
  66. Laura Spierdijk & Jacob Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," DNB Working Papers 343, Netherlands Central Bank, Research Department.
  67. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
  68. Osamah AlKhazali, 2011. "Does infrequent trading make a difference on stock market efficiency?: Evidence from the Gulf Cooperation Council (GCC) countries," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(2), pages 96-110, June.
  69. Campbell, John, 1991. "A Variance Decomposition for Stock Returns," Scholarly Articles 3207695, Harvard University Department of Economics.
  70. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  71. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014. "Predicting BRICS stock returns using ARFIMA models," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
  72. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
  73. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries," NIPE Working Papers 33/2011, NIPE - Universidade do Minho.
  74. Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31.
  75. A. Sensoy & Benjamin Miranda Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
  76. Serban, Alina F., 2010. "Combining mean reversion and momentum trading strategies in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2720-2727, November.
  77. G. Andrew Karolyi & Rene Stulz, . "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS," Research in Financial Economics 9501, Ohio State University.
  78. Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou, 2006. "Testing Technical Anomalies in Athens Stock Exchange (ASE)," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 75-90.
  79. Hiremath, Gourishankar S & Bandi, Kamaiah, 2009. "On the random walk characteristics of stock returns in India," MPRA Paper 46499, University Library of Munich, Germany.
  80. Elizabeth Demers & Clara Vega, 2008. "Soft information in earnings announcements: news or noise?," International Finance Discussion Papers 951, Board of Governors of the Federal Reserve System (U.S.).
  81. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," CESifo Working Paper Series 5523, CESifo Group Munich.
  82. repec:pid:wpaper:2000:179 is not listed on IDEAS
  83. Xia, Yihong, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management qt3167f8mz, Anderson Graduate School of Management, UCLA.
  84. John H. Cochrane, 1989. "Explaining the Variance of Price Dividend Ratios," NBER Working Papers 3157, National Bureau of Economic Research, Inc.
  85. Jones, Steven L. & Yeoman, John C., 2012. "Bias in estimating the systematic risk of extreme performers: Implications for financial analysis, the leverage effect, and long-run reversals," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 1-21.
  86. Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
  87. John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group.
  88. Pástor, Luboš & Stambaugh, Robert F., 2009. "Are Stocks Really Less Volatile in the Long Run?," CEPR Discussion Papers 7199, C.E.P.R. Discussion Papers.
  89. Simon van Norden & Huntley Schaller & ), 1995. "Speculative Behaviour, Regime-Switching, and Stock Market Crashes," Econometrics 9502003, EconWPA.
  90. Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 563-588, December.
  91. Vladimir Tsenkov, 2011. "Efficient-Market Hypothesis and the Global Financial Crises – on the Example of SOFIX, DJIA and DAX Indexes," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 53-88.
  92. Kogan, Leonid & Uppal, Raman, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers.
  93. 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.
  94. repec:ebl:ecbull:v:7:y:2007:i:3:p:1-8 is not listed on IDEAS
  95. Ming-Shiun Pan & Y. Angela Liu & Herbert Roth, 2001. "Term structure of return correlations and international diversification: evidence from European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 144-164.
  96. Venkat Eleswarapu & Chandrasekar Krishnamurti, 1995. "Do `speculative traders' increase Stock Price Volatility? Empirical evidence from the Bombay Stock Exchange," Finance 9507006, EconWPA.
  97. Nicholas Barberis & Ming Huang & Tano Santos, 1999. "Prospect Theory and Asset Prices," NBER Working Papers 7220, National Bureau of Economic Research, Inc.
  98. William A. Brock & Blake LeBaron, 1989. "Liquidity Constraints in Production Based Asset Pricing Models," NBER Working Papers 3107, National Bureau of Economic Research, Inc.
  99. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
  100. Sayim, Mustafa & Rahman, Hamid, 2015. "An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market," Global Finance Journal, Elsevier, vol. 26(C), pages 1-17.
  101. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc.
  102. Argentesi, Elena & Lütkepohl, Helmut & Motta, Massimo, 2006. "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," CEPR Discussion Papers 5912, C.E.P.R. Discussion Papers.
  103. Holden, Craig W. & Subrahmanyam, Avanidhar, 1998. "New Events, Information Acquisition, and Serial Correlation," University of California at Los Angeles, Anderson Graduate School of Management qt4d2537cg, Anderson Graduate School of Management, UCLA.
  104. Ken Johnston & John Hatem & Elton Scott, 2013. "A note on the evaluation of long-run investment decisions using the sharpe ratio," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(1), pages 150-157, January.
  105. Miquel Faig, 1997. "INVESTMENT IRREVERSIBILITY IN GENERAL EQUILIBRIUM: Capital Accumulation, Interest Rates, and the Risk Premium," Working Papers faig-97-01, University of Toronto, Department of Economics.
  106. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  107. Ibarra, Raul, 2013. "A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 429-439.
  108. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Diamonds — A precious new asset?," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 182-189.
  109. 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.
  110. Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Working Papers 13134, National Bureau of Economic Research, Inc.
  111. Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
  112. Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Staff Reports 174, Federal Reserve Bank of New York.
  113. 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.
  114. Anwar M. Shaikh, 1998. "The Stock Market and the Corporate Sector: A Profit-Based Approach," Macroeconomics 9811007, EconWPA.
  115. John Ammer & Jianping Mei, 1993. "Measuring international economic linkages with stock market data," International Finance Discussion Papers 449, Board of Governors of the Federal Reserve System (U.S.).
  116. Rompotis, Gerasimos G., 2011. "Testing weak-form efficiency of exchange traded funds market," MPRA Paper 36020, University Library of Munich, Germany.
  117. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
  118. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2000. "Forecasting stock indices: a comparison of classification and level estimation models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 173-190.
  119. Jaggia, Sanjiv & Thosar, Satish, 2004. "The medium-term aftermarket in high-tech IPOs: Patterns and implications," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 931-950, May.
  120. 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.
  121. Chancharat, Surachai & Valadkhani, Abbas, 2007. "Structural Breaks and Testing for the Random Walk Hypothesis in International Stock Prices," MPRA Paper 50394, University Library of Munich, Germany.
  122. Wang, Yaping & Wu, Liansheng & Yang, Yunhong, 2009. "Does the stock market affect firm investment in China? A price informativeness perspective," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 53-62, January.
  123. John Clark & Elizabeth Berko, 1997. "Foreign investment fluctuations and emerging market stock returns: the case of Mexico," Staff Reports 24, Federal Reserve Bank of New York.
  124. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  125. Gunaratne, P. S. M. & Yonesawa, Y., 1997. "Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction," Japan and the World Economy, Elsevier, vol. 9(3), pages 363-384, August.
  126. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
  127. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, Elsevier.
  128. Josef Lakonishok & Inmoo Lee, 1998. "Are Insiders' Trades Informative?," NBER Working Papers 6656, National Bureau of Economic Research, Inc.
  129. Rico Belda, Paz, 2013. "No linealidad y asimetría en el proceso generador del Índice Ibex35/Nonlinearity and Asymmetry in the Generator Process of Ibex35 Index," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 31, pages 555-576, Septiembr.
  130. Wing-Keung Wong & Boon-Kiat Chew & Douglas Sikorsk, 2001. "Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?," Multinational Finance Journal, Multinational Finance Journal, vol. 5(1), pages 59-86, March.
  131. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc.
  132. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  133. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1989. "Conditional Mean-Variance Efficiency of the U.S. Stock Market," NBER Working Papers 2890, National Bureau of Economic Research, Inc.
  134. Tano Santos & Pietro Veronesi, 2000. "Labor Income and Predictable Stock Returns," CRSP working papers 520, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  135. Swastika, Putri & Dewandaru, Ginanjar & Masih, Mansur, 2013. "Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques," MPRA Paper 58833, University Library of Munich, Germany.
  136. Javier León & Carlos Oliva, 1992. "Componente no Estacionario y la Paridad del Poder de Compra en 12 Países Latinoamericanos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(88), pages 481-504.
  137. Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack, 2004. "An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(1), pages 1-32, 03.
  138. 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.
  139. James Cataldo, 2015. "A framework for assessing comprehensive income risk exposure over varying time horizons," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 819-844, November.
  140. Kin Lam & Li Wei, . "Optimal Trading Strategy When Return Process is AR(1)," Computing in Economics and Finance 1997 16, Society for Computational Economics.
  141. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers.
  142. Simon van Norden & Huntley Schaller & ), 1995. "Fads or Bubbles?," Econometrics 9502004, EconWPA, revised 06 Jun 1995.
  143. John H. Cochrane, 1998. "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers 6207, National Bureau of Economic Research, Inc.
  144. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Regime-Switching Stock Returns And Mean Reversion," Working Papers 11-2000, Copenhagen Business School, Department of Economics.
  145. Carlos Alves & Victor Mendes, 2001. "Corporate Governance Policy and Company Performance: The Case of Portugal," FEP Working Papers 112, Universidade do Porto, Faculdade de Economia do Porto.
  146. Wing-Keung Wong & Meher Manzur & Boon-Kiat Chew, 2002. "How Rewarding Is Technical Analysis? Evidence From Singapore Stock Market," Departmental Working Papers wp0216, National University of Singapore, Department of Economics.
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