IDEAS home Printed from https://ideas.repec.org/r/ucp/jpolec/v96y1988i2p246-73.html
   My bibliography  Save this item

Permanent and Temporary Components of Stock Prices

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Cross Sectional Volatility
    by quantivity in Quantivity on 2011-03-02 16:40:25

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
  2. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  3. Siddiqi, Hammad, 2013. "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 160608, University of Queensland, School of Economics.
  4. 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.
  5. Paolo Pasquariello & Clara Vega, 2015. "Strategic Cross-Trading in the U.S. Stock Market," Review of Finance, European Finance Association, vol. 19(1), pages 229-282.
  6. Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2017. "Semiparametric Estimation of Risk–Return Relationships," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 40-52, January.
  7. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413, World Scientific Publishing Co. Pte. Ltd..
  8. Tortorice, Daniel L., 2018. "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 315-343.
  9. Benjamin Miranda Tabak, 2003. "The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case," Applied Financial Economics, Taylor & Francis Journals, vol. 13(5), pages 369-378.
  10. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
  11. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
  12. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, December.
  13. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
  14. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
  15. Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015. "Nonlinear And Complex Dynamics In Economics," Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1749-1779, December.
  16. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2010. "Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II," Working Papers hal-00473727, HAL.
  17. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  18. Andrew B. Abel, 2001. "The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 153-202, National Bureau of Economic Research, Inc.
  19. Tan, Baris & Yilmaz, Kamil, 2002. "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
  20. Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 481-502, December.
  21. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 21(Nov), pages 3-37.
  22. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, University Library of Munich, Germany.
  23. João Paulo Vieito & Wing-Keung Wong & Zhen-Zhen Zhu, 2016. "Could the global financial crisis improve the performance of the G7 stocks markets?," Applied Economics, Taylor & Francis Journals, vol. 48(12), pages 1066-1080, March.
  24. Thomas Delcey, 2019. "Samuelson vs Fama on the Efficient Market Hypothesis: The Point of View of Expertise [Samuelson vs Fama sur l’efficience informationnelle des marchés financiers : le point de vue de l’expertise]," Post-Print hal-01618347, HAL.
  25. Pernagallo, Giuseppe & Torrisi, Benedetto, 2020. "Blindfolded monkeys or financial analysts: Who is worth your money? New evidence on informational inefficiencies in the U.S. stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  26. Turvey, Calum G., 2001. "Random Walks And Fractal Structures In Agricultural Commodity Futures Prices," Working Papers 34151, University of Guelph, Department of Food, Agricultural and Resource Economics.
  27. Neely, Christopher J. & Weller, Paul, 2000. "Predictability in International Asset Returns: A Reexamination," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(4), pages 601-620, December.
  28. Kraft, Holger & Munk, Claus & Weiss, Farina, 2019. "Predictors and portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 1-27.
  29. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
  30. 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.
  31. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
  32. Huffman, Stephen P. & Moll, Cliff R., 2013. "An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns," Review of Financial Economics, Elsevier, vol. 22(1), pages 8-19.
  33. 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(3), pages 495-516, September.
  34. Chongsoo An & John J. Cheh & Il-woon Kim, 2017. "Do Value Stocks Outperform Growth Stocks in the U.S. Stock Market?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-7.
  35. Amado Peiró, 2016. "Cross-autocorrelations in European stock returns," Economics and Business Letters, Oviedo University Press, vol. 5(1), pages 30-37.
  36. Lakshman A. Alles & John L. Kling, 1994. "Regularities In The Variation Of Skewness In Asset Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 427-438, September.
  37. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
  38. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
  39. Ghada Abbas, 2014. "Testing Random Walk Behavior in the Damascus Securities Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(4), pages 317-325, October.
  40. Mbodji, O.S. & Nguyen-Huu, A. & Pirvu, T.A., 2019. "Optimal sharing rule for a household with a portfolio management problem," Mathematical Social Sciences, Elsevier, vol. 101(C), pages 88-98.
  41. Palani-Rajan Kadapakkam & Timothy Krause & Yiuman Tse, 2015. "Exchange traded funds, size-based portfolios, and market efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 89-110, July.
  42. 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.
  43. 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, September.
  44. Edward L. Glaeser & Joseph Gyourko, 2006. "Housing Dynamics," NBER Working Papers 12787, National Bureau of Economic Research, Inc.
  45. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
  46. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  47. Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan, 2015. "Nonparametric prediction of stock returns based on yearly data: The long-term view," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 143-155.
  48. Kofi A. Amoateng, 2019. "Did Tom Brady Save the US stock market? Market Anomaly or Market Efficiency?," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(5), pages 128-128, May.
  49. John H. Cochrane, 1990. "Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods," NBER Working Papers 3427, National Bureau of Economic Research, Inc.
  50. Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012. "Time series momentum," Journal of Financial Economics, Elsevier, vol. 104(2), pages 228-250.
  51. 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.
  52. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
  53. Hiremath, Gourishankar S & Bandi, Kamaiah, 2012. "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper 48710, University Library of Munich, Germany.
  54. Dongweí Su, 2003. "Risk, Return and Regulation in Chinese Stock Markets," World Scientific Book Chapters, in: Chinese Stock Markets A Research Handbook, chapter 3, pages 75-122, World Scientific Publishing Co. Pte. Ltd..
  55. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, University Library of Munich, Germany.
  56. Campbell, John Y. & Koo, Hyeng Keun, 1997. "A comparison of numerical and analytic approximate solutions to an intertemporal consumption choice problem," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 273-295.
  57. Malcolm Baker & Jeffrey Wurgler, 2000. "The Equity Share in New Issues and Aggregate Stock Returns," Journal of Finance, American Finance Association, vol. 55(5), pages 2219-2257, October.
  58. 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.
  59. 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.
  60. Taamouti, Abderrahim & García, René & Dufour, Jean-Marie, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  61. Guglielmo Maria Caporale & Luis Gil-Alana, 2011. "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1757-1764.
  62. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  63. 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.
  64. Alina Serban, 2009. "Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets," Working Papers 09-14, Department of Economics, West Virginia University.
  65. Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003. "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80, January.
  66. Jim Musumeci & Joe Musumeci, 1999. "A Dynamic-Programming Approach to Multiperiod Asset Allocation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 15(1), pages 5-21, February.
  67. Ángel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," Working Papers wp1997_9704, CEMFI.
  68. 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.
  69. 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.
  70. Zhou, Qing & Tan, Kelvin Jui Keng & Faff, Robert & Zhu, Yushu, 2016. "Deviation from target capital structure, cost of equity and speed of adjustment," Journal of Corporate Finance, Elsevier, vol. 39(C), pages 99-120.
  71. Kocagil, Ahmet E. & Swanson, Norman R. & Zeng, Tian, 2001. "A new definition for time-dependent price mean reversion in commodity markets," Economics Letters, Elsevier, vol. 71(1), pages 9-16, April.
  72. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
  73. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics.
  74. Jiang, Yonghong & Nie, He & Ruan, Weihua, 2018. "Time-varying long-term memory in Bitcoin market," Finance Research Letters, Elsevier, vol. 25(C), pages 280-284.
  75. 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.).
  76. Klos, Alexander & Langer, Thomas & Weber, Martin, 2002. "Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?," Sonderforschungsbereich 504 Publications 02-49, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  77. Liu, Chao-Shin & Ziebart, David A., 1999. "Anomalous security price behavior following management earnings forecasts," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 405-429, October.
  78. Ben Moews & J. Michael Herrmann & Gbenga Ibikunle, 2018. "Lagged correlation-based deep learning for directional trend change prediction in financial time series," Papers 1811.11287, arXiv.org, revised Nov 2018.
  79. Cakan Esin & Rangan Gupta, 2017. "Does the US. macroeconomic news make the South African stock market riskier?," Journal of Developing Areas, Tennessee State University, College of Business, vol. 51(4), pages 17-27, October-D.
  80. Yang, Yurun & Göncü, Ahmet & Pantelous, Athanasios A., 2018. "Momentum and reversal strategies in Chinese commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 177-196.
  81. Chiu, Hsin-Yu & Chen, Ting-Fu, 2020. "Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  82. Fatma SIALA GUERMEZI, & Amani BOUSSAADA, 2016. "The Weak Form Of Informational Efficiency: Case Of Tunisian Banking Sector," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(1), pages 1-1, January.
  83. Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012. "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 400-423, April.
  84. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1), pages 27-35.
  85. Selahattin GURIS & Aynur PALA, 2014. "Equity Returns, Firm-Specific Characteristics and Sector Rotation: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 264-276.
  86. Haque Mahfuzul & Hassan M. Kabir & Maroney Neal C & Sackley William H, 2004. "An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 2(1), pages 18-41, April.
  87. Girard, Eric & Rahman, Hamid & Zaher, Tarek, 2003. "On market price of risk in Asian capital markets around the Asian flu," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 241-265.
  88. Edward Bernard Bastiaan de Rivera y Rivera & Diógenes Manoel Leiva Martin & Emerson Fernandes Marçal & Leonardo Fernando Cruz Basso, 2012. "Present value model between prices and dividends with constant and time-varying expected returns: enterprise-level Brazilian stock market evidence from non-stationary panels," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 51-86, October.
  89. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
  90. Perron, Pierre & Vodounou, Cosme, 2004. "Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 203-230, March.
  91. Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
  92. Eric Hillebrand, 2003. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," Departmental Working Papers 2003-10, Department of Economics, Louisiana State University.
  93. Mukherji, Sandip, 2011. "Are stock returns still mean-reverting?," Review of Financial Economics, Elsevier, vol. 20(1), pages 22-27, January.
  94. Sujata Behera, 2020. "Does the EVA valuation model explain the market value of equity better under changing required return than constant required return?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-23, December.
  95. Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
  96. Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2008. "Long term spread option valuation and hedging," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2530-2540, December.
  97. Neaime, Simon, 2015. "Are emerging MENA stock markets mean reverting? A Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 13(C), pages 74-80.
  98. Turvey, Calum G. & Power, Gabriel J., 2006. "The Confidence Limits of a Geometric Brownian Motion," 2006 Annual meeting, July 23-26, Long Beach, CA 21239, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  99. Fischer Black, 1988. "An Equilibrium Model of the Crash," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 269-276, National Bureau of Economic Research, Inc.
  100. Qiu, Jiaping & Wan, Chi, 2015. "Technology spillovers and corporate cash holdings," Journal of Financial Economics, Elsevier, vol. 115(3), pages 558-573.
  101. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
  102. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
  103. Vladimir Dombrovskii & Tatyana Obedko, 2014. "Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending," Papers 1410.8042, arXiv.org.
  104. 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.
  105. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December.
  106. 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.
  107. Albuquerque, Rui & Miao, Jianjun, 2014. "Advance information and asset prices," Journal of Economic Theory, Elsevier, vol. 149(C), pages 236-275.
  108. 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.
  109. Maslyuk, Svetlana & Smyth, Russell, 2009. "Cointegration between oil spot and future prices of the same and different grades in the presence of structural change," Energy Policy, Elsevier, vol. 37(5), pages 1687-1693, May.
  110. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper 48518, University Library of Munich, Germany.
  111. Nelson Manuel Areal & Manuel Jose Da Rocha Armada, 2002. "The long-horizon returns behaviour of the Portuguese stock market1," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 93-122.
  112. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March.
  113. Catherine Araujo Bonjean, 1998. "Les marchés mondiaux des produits agricoles sont-ils efficients ?," Économie rurale, Programme National Persée, vol. 243(1), pages 8-15.
  114. Lo, Andrew W & Wang, Jiang, 1995. "Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March.
  115. Emma Schultz & John Swieringa, 2018. "Information linkages between emission allowance and energy markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 921-935, September.
  116. Silva, A. Christian & Prange, Richard E., 2007. "Virtual volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 507-516.
  117. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
  118. 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.
  119. Peter Klibanoff & Owen Lamont & Thierry A. Wizman, "undated". "Investor Reaction to Salient News in Closed-End Country Funds," CRSP working papers 346, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  120. Leonid Kogan & Raman Uppal, "undated". "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research.
  121. 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, March.
  122. 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.
  123. Shiller, Robert J. & Beltratti, Andrea E., 1992. "Stock prices and bond yields : Can their comovements be explained in terms of present value models?," Journal of Monetary Economics, Elsevier, vol. 30(1), pages 25-46, October.
  124. Qingshuo Song & Qing Zhang, 2013. "An Optimal Pairs-Trading Rule," Papers 1302.6120, arXiv.org.
  125. Siddiqi, Hammad, 2013. "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper 50759, University Library of Munich, Germany.
  126. 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.
  127. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2020. "Optimal investment and consumption with return predictability and execution costs," Economic Modelling, Elsevier, vol. 88(C), pages 408-419.
  128. Loffler, Gunter, 2004. "An anatomy of rating through the cycle," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 695-720, March.
  129. Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 247-275, March.
  130. Gerald R. Jensen & Jeffrey M. Mercer, 2003. "New Evidence on Optimal Asset Allocation," The Financial Review, Eastern Finance Association, vol. 38(3), pages 435-454, August.
  131. Anwar M. Shaikh, 1995. "The Stock Market and the Corporate Sector: Profit-Based Approach," Economics Working Paper Archive wp_146, Levy Economics Institute.
  132. Timothy K. Chue & In Choi, 2007. "Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 233-264.
  133. 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.
  134. Helmut Herwartz & Leonardo Morales-Arias, 2009. "In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors," The European Journal of Finance, Taylor & Francis Journals, vol. 15(1), pages 1-28.
  135. Maria Rosa Borges, 2011. "Random walk tests for the Lisbon stock market," Applied Economics, Taylor & Francis Journals, vol. 43(5), pages 631-639.
  136. Andrew T. Levin, 1995. "Inferences from parametric and non-parametric covariance matrix estimation procedures," International Finance Discussion Papers 504, Board of Governors of the Federal Reserve System (U.S.).
  137. Kiseok Nam & Joshua Krausz & Augustine C. Arize, 2014. "Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2193-2203, December.
  138. Jim Clayton, 1998. "Further Evidence on Real Estate Market Efficiency," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 41-58.
  139. 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.
  140. Yu, Jialin, 2011. "Disagreement and return predictability of stock portfolios," Journal of Financial Economics, Elsevier, vol. 99(1), pages 162-183, January.
  141. Kwong-C. Cheung & J. Andrew Coutts, 2001. "A note on weak form market efficiency in security prices: evidence from the Hong Kong stock exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 407-410.
  142. 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.
  143. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
  144. Gallagher, Liam A. & Taylor, Mark P., 2000. "Measuring the temporary component of stock prices: robust multivariate analysis," Economics Letters, Elsevier, vol. 67(2), pages 193-200, May.
  145. Schultz, Emma & Swieringa, John, 2013. "Price discovery in European natural gas markets," Energy Policy, Elsevier, vol. 61(C), pages 628-634.
  146. Eduardo Walker, 1998. "Mercado Accionario y Crecimiento Económico en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(104), pages 49-72.
  147. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
  148. Laurent, Sébastien & Shi, Shuping, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Journal of Econometrics, Elsevier, vol. 217(2), pages 259-290.
  149. 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).
  150. 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.
  151. Adrian Buckley, 1999. "An introduction to security returns," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 165-180.
  152. Moore, Bartholomew & Schaller, Huntley, 1996. "Learning, regime switches, and equilibrium asset pricing dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 979-1006.
  153. Kim, Hyeongwoo & Kim, Jintae, 2018. "London calling: Nonlinear mean reversion across national stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 265-277.
  154. Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016. "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, April.
  155. 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.
  156. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2014. "Information ratio analysis of momentum strategies," Papers 1402.3030, arXiv.org, revised Jul 2014.
  157. Bernhard Eckwert & Burkhard Drees, 2005. "Asset Mispricing Due to Cognitive Dissonance," IMF Working Papers 05/9, International Monetary Fund.
  158. Yu Wang & Haicheng Shu, 2019. "Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China," Working Papers 2019-10-10, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  159. Nicholas Barberis & Ming Huang & Tano Santos, "undated". "Prospect Theory and Asset Prices," CRSP working papers 494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  160. Michael Fung, 2013. "A trade-off between non-fundamental risk and incentives," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 29-51, July.
  161. Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
  162. 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.
  163. 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.
  164. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  165. Turattia, Douglas Eduardo & Mendes, Fernando Henrique P.S. & Caldeira, João Frois, 2020. "Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization," Finance Research Letters, Elsevier, vol. 34(C).
  166. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  167. Jesus Ancizar Gomez Daza & Luis Ferruz Agudo, 2016. "Are pension funds determinants of financial market stability? A dynamic analysis of OECD countries," Working Papers 20, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  168. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.
  169. Cemile ÖZGÜR, 2019. "Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması," Istanbul Management Journal, Istanbul University Business School, vol. 0(86), pages 97-112, June.
  170. 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.
  171. John Ammer & Jianping Mei, 1995. "Strategic returns to international diversification: An application to the equity markets of Europe, Japan and North America," European Financial Management, European Financial Management Association, vol. 1(1), pages 49-59, March.
  172. Bidarkota, Prasad V. & Dupoyet, Brice V. & McCulloch, J. Huston, 2009. "Asset pricing with incomplete information and fat tails," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1314-1331, June.
  173. G. Andrew Karolyi & Rene Stulz, "undated". "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS," Research in Financial Economics 9501, Ohio State University.
  174. 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.
  175. Alina Synyavska & Numan Ülkü, 2015. "'Leverage Effect' in country betas and volatilities?," Applied Economics Letters, Taylor & Francis Journals, vol. 22(11), pages 848-853, July.
  176. 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.
  177. Campbell, John Y, 1996. "Understanding Risk and Return," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 298-345, April.
  178. Strawinski, Pawel & Slepaczuk, Robert, 2008. "Analysis of HF data on the WSE in the context of EMH," MPRA Paper 9532, University Library of Munich, Germany.
  179. Malliaropulos, Dimitrios, 1998. "International stock return differentials and real exchange rate changes," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 493-511, June.
  180. Smith, L. Vanessa & Yamagata, Takashi, 2011. "Firm level return–volatility analysis using dynamic panels," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 847-867.
  181. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
  182. 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.
  183. Doyle, John R. & Chen, Catherine H., 2013. "Patterns in stock market movements tested as random number generators," European Journal of Operational Research, Elsevier, vol. 227(1), pages 122-132.
  184. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  185. Fathia Elleuch Lahyani, 2014. "Are MENA and Pacific Basin Stock Equity Markets Predictable?," SAGE Open, , vol. 4(4), pages 21582440145, December.
  186. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.
  187. M. Numan Ünlü, 2008. "Expectations of Professionals in The Turkish Stock Market: a Study of a Monthly Reuters Survey," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 22(1+2), pages 1-16.
  188. Campbell, John Y. & Mei, Jianping, 1993. "Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk," Scholarly Articles 3353757, Harvard University Department of Economics.
  189. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
  190. Martikainen, Teppo & Perttunen, Jukka & Yli-Olli, Paavo & Gunasekaran, A., 1996. "On the impact of infrequent trading on the APT systematic risk components -- Evidence from a thin security market," European Journal of Operational Research, Elsevier, vol. 88(1), pages 23-27, January.
  191. Daske, Stefan, 2002. "Winner-Loser-Effekte am deutschen Aktienmarkt," SFB 373 Discussion Papers 2002,87, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  192. Balvers, Ronald J. & Mitchell, Douglas W., 2000. "Efficient gradualism in intertemporal portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 21-38, January.
  193. Satchell, Steve & Timmermann, Allan, 1995. "On the optimality of adaptive expectations: Muth revisited," International Journal of Forecasting, Elsevier, vol. 11(3), pages 407-416, September.
  194. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  195. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
  196. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," NBER Working Papers 3911, National Bureau of Economic Research, Inc.
  197. Phong Luu & Jingzhi Tie & Qing Zhang, 2018. "A Threshold Type Policy for Trading a Mean-Reverting Asset with Fixed Transaction Costs," Risks, MDPI, Open Access Journal, vol. 6(4), pages 1-1, September.
  198. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  199. Liow, Kim Hiang, 2003. "Property Company Stock Price and Net Asset Value: A Mean Reversion Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 27(2), pages 235-255, September.
  200. Burak Saltoglu, 1998. "Speed of adjustment to the long-run equilibrium: an application with US Stock Price and Dividend data," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 367-375.
  201. 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 379-395, June.
  202. 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.
  203. Schröder, David & Esterer, Florian, 2012. "A new measure of equity duration: The duration-based explanation of the value premium revisited," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62077, Verein für Socialpolitik / German Economic Association.
  204. Cunha, Ronan & Pereira, Pedro L. Valls, 2015. "Automatic model selection for forecasting Brazilian stock returns," Textos para discussão 398, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  205. Fang, Yue & Xu, Daming, 2003. "The predictability of asset returns: an approach combining technical analysis and time series forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 369-385.
  206. Estrada, Javier, 2000. "The temporal dimension of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 189-204.
  207. Wayne E. Ferson & Andrea Heuson & Tie Su, 2004. "Weak and Semi-Strong Form Stock Return Predictability, Revisited," NBER Working Papers 10689, National Bureau of Economic Research, Inc.
  208. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group.
  209. Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics.
  210. Nazliben, K. Korhan & Rodríguez, Juan Carlos, 2018. "Permanent shocks, signal extraction, and portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 47-68.
  211. Ormos, Mihály & Erdős, Péter, 2011. "Borok mint alternatív befektetési lehetőségek [Wines as an alternative investment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 158-172.
  212. 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.
  213. Massimo Caruso, 2006. "Stock Market Fluctuations and Money Demand in Italy, 1913–2003," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(1), pages 1-47, February.
  214. Mehrotra, Shiv N. & Kant, Shashi, 2009. "Use of composite forest commodity price indices for cointegration analysis," Journal of Forest Economics, Elsevier, vol. 15(4), pages 237-260, December.
  215. William A. Brock & Blake LeBaron, 1990. "Liquidity Constraints in Production-Based Asset-Pricing Models," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 231-256, National Bureau of Economic Research, Inc.
  216. Ritter, Jay R., 2005. "Economic growth and equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 489-503, November.
  217. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
  218. Mordecai Kurz & Maurizio Motolese, "undated". "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
  219. Byrne, Joseph P & Ibrahim, Boulis Maher & Zong, Xiaoyu, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," MPRA Paper 101781, University Library of Munich, Germany.
  220. Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002. "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC 2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  221. Ronald MacDonald, 2000. "Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 69-100, February.
  222. 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.
  223. Alda, Mercedes, 2017. "The relationship between pension funds and the stock market: Does the aging population of Europe affect it?," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 83-97.
  224. Spierdijk, Laura & Bikker, Jacob A. & van den Hoek, Pieter, 2012. "Mean reversion in international stock markets: An empirical analysis of the 20th century," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 228-249.
  225. Kausik Chaudhuri, 1997. "Stock returns in emerging markets: a common trend analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 105-108.
  226. Huntley Schaller & Simon Van Norden, 1997. "Regime switching in stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 177-191.
  227. Suijs, J.P.M., 2002. "Post Earnings Announcement Drift : More Risk than Investors can Bear," Discussion Paper 2002-45, Tilburg University, Center for Economic Research.
  228. Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications, The World Bank, number 2462, September.
  229. Steve Beveridege & Cyril Oickle, 1997. "Long memory in the Canadian stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 667-672.
  230. Mamatzakis, E & Remoundos, P, 2010. "Threshold Cointegration in BRENT crude futures market," MPRA Paper 19978, University Library of Munich, Germany.
  231. Danny Miller & Xiaowei Xu & Vikas Mehrotra, 2015. "When is human capital a valuable resource? The performance effects of Ivy league selection among celebrated CEOs," Strategic Management Journal, Wiley Blackwell, vol. 36(6), pages 930-944, June.
  232. L. Spierdijk & J.A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
  233. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, "undated". "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  234. David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
  235. Peña Sánchez de Rivera, Juan Ignacio & Rodríguez, Rosa, 2006. "On the economic link between asset prices and real activity," DEE - Working Papers. Business Economics. WB wb063209, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  236. Azubuike Samuel Agbam, 2015. "Tests of Random Walk and Efficient Market Hypothesis in Developing Economies: Evidence from Nigerian Capital Market," International Journal of Management Sciences, Research Academy of Social Sciences, vol. 5(1), pages 1-53.
  237. Bernard Dumas, 1993. "Partial- vs general-equilibrium models of the international capital market," Working Papers hal-00610766, HAL.
  238. Anna Górska & Monika Krawiec, 2016. "The Analysis of Weak-Form Efficiency in the Market of Crude Oil," European Journal of Economics and Business Studies Articles, European Center for Science Education and Research, vol. 2, May-Augus.
  239. Shlomo Zilca, 2010. "The variance ratio and trend stationary model as extensions of a constrained autoregressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(5), pages 467-475.
  240. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
  241. Birol Yildiz, 2001. "Prediction of Financial Failure With Artificial Neural Network Technology and an Empirical Application on Publicly Held Companies," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(17), pages 47-62.
  242. Mirzaee Ghazani, Majid & Khalili Araghi, Mansour, 2014. "Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange," Research in International Business and Finance, Elsevier, vol. 32(C), pages 50-59.
  243. Conlin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998. "Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 339-356.
  244. 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.
  245. Lleo, Sebastien & Ziemba, William T., 2014. "Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models?," LSE Research Online Documents on Economics 59290, London School of Economics and Political Science, LSE Library.
  246. Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, December.
  247. Lior Menzly & Tano Santos & Pietro Veronesi, 2004. "Understanding Predictability," Journal of Political Economy, University of Chicago Press, vol. 112(1), pages 1-47, February.
  248. Seung-Hyun Moon & Yong-Hyuk Kim & Byung-Ro Moon, 2019. "Empirical investigation of state-of-the-art mean reversion strategies for equity markets," Papers 1909.04327, arXiv.org.
  249. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
  250. Kim Kaivanto & Peng Zhang, 2019. "Popular Music, Sentiment, and Noise Trading," Working Papers 279326509, Lancaster University Management School, Economics Department.
  251. Kaminski, Kathryn M. & Lo, Andrew W., 2014. "When do stop-loss rules stop losses?," Journal of Financial Markets, Elsevier, vol. 18(C), pages 234-254.
  252. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
  253. Wayne Guay & SP Kothari & Susan Shu, 2011. "Properties of implied cost of capital using analysts’ forecasts," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 125-149, August.
  254. Urquhart, Andrew & Hudson, Robert, 2013. "Efficient or adaptive markets? Evidence from major stock markets using very long run historic data," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 130-142.
  255. Maynard, Alex & Ren, Dongmeng, 2019. "The finite sample power of long-horizon predictive tests in models with financial bubbles," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 418-430.
  256. 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.
  257. F.C. Neil Myer & James R. Webb, 1993. "Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison," Journal of Real Estate Research, American Real Estate Society, vol. 8(1), pages 87-106.
  258. Christoffersen, Peter & Pan, Xuhui (Nick), 2018. "Oil volatility risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 5-26.
  259. Pyun, Sungjune, 2019. "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, vol. 132(1), pages 150-174.
  260. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
  261. Kothari, S.P. & Ramanna, Karthik & Skinner, Douglas J., 2010. "Implications for GAAP from an analysis of positive research in accounting," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 246-286, December.
  262. Jacobsen, Ben, 1996. "Long term dependence in stock returns," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 393-417, December.
  263. Ansgar Steland, 2005. "Random Walks with Drift – A Sequential Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 917-942, November.
  264. 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.
  265. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
  266. Vassiliy Chsherbakov, 2010. "Efficiency of Use of Technical Analysis: Evidences from Russian Stock Market," Ekonomika a Management, Prague University of Economics and Business, vol. 2010(4).
  267. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1989. "Conditional mean-variance efficiency of the U.S. stock market," Research Paper 8901, Federal Reserve Bank of New York.
  268. 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.
  269. 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.
  270. Barbosa, António, 2019. "Optimal Learning, Overvaluation and Overinvestment," MPRA Paper 97411, University Library of Munich, Germany.
  271. Manolis Kavussanos & Everton Dockery, 2001. "A multivariate test for stock market efficiency: the case of ASE," Applied Financial Economics, Taylor & Francis Journals, vol. 11(5), pages 573-579.
  272. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2019. "Dynamic portfolio choice with return predictability and transaction costs," European Journal of Operational Research, Elsevier, vol. 278(3), pages 976-988.
  273. Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
  274. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
  275. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  276. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.),Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
  277. Yuval Arbel & Danny Ben-Shahar & Eyal Sulganik, 2009. "Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 316-335, October.
  278. Kenneth A. Froot, 1990. "Short Rates and Expected Asset Returns," NBER Working Papers 3247, National Bureau of Economic Research, Inc.
  279. Lasfer, M. Ameziane & Melnik, Arie & Thomas, Dylan C., 2003. "Short-term reaction of stock markets in stressful circumstances," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1959-1977, October.
  280. Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang, 2001. "A new historical database for the NYSE 1815 to 1925: Performance and predictability," Journal of Financial Markets, Elsevier, vol. 4(1), pages 1-32, January.
  281. Simon van Norden & Huntley Schaller, 2002. "Fads or bubbles?," Empirical Economics, Springer, vol. 27(2), pages 335-362.
  282. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.),Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
  283. Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
  284. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, University Library of Munich, Germany.
  285. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
  286. Simon Gervais & Ron Kaniel & Dan H. Mingelgrin, 2001. "The High‐Volume Return Premium," Journal of Finance, American Finance Association, vol. 56(3), pages 877-919, June.
  287. 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.
  288. Alexakis, Christos, 2010. "Long-run relations among equity indices under different market conditions: Implications on the implementation of statistical arbitrage strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 389-403, October.
  289. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 187-212, October.
  290. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-179, March.
  291. Darrat, Ali F & Zhong, Maosen, 2000. "On Testing the Random-Walk Hypothesis: A Model-Comparison Approach," The Financial Review, Eastern Finance Association, vol. 35(3), pages 105-124, August.
  292. 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, July.
  293. 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(4), pages 503-536, September.
  294. Estrada, Javier, 1997. "Random walks and the temporal dimension of risk," DEE - Working Papers. Business Economics. WB 7040, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  295. Gangopadhyay, Partha & Reinganum, Marc R., 1996. "Interpreting mean reversion in stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 377-394.
  296. Arshad, Shaista & Rizvi, Syed Aun R., 2015. "The troika of business cycle, efficiency and volatility. An East Asian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 158-170.
  297. Degenhardt, Thomas & Auer, Benjamin R., 2018. "The “Sell in May” effect: A review and new empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 169-205.
  298. Masud Pervez & Md. Harun Ur Rashid & Md. Asad Iqbal Chowdhury & Mahbubur Rahaman, 2018. "Predicting the Stock Market Efficiency in Weak Form: A Study on Dhaka Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 88-95.
  299. 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.
  300. Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
  301. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
  302. Venkat Eleswarapu & Chandrasekar Krishnamurti, 1995. "Do `speculative traders' increase Stock Price Volatility? Empirical evidence from the Bombay Stock Exchange," Finance 9507006, University Library of Munich, Germany.
  303. Fang, Yue, 2002. "The compass rose and random walk tests," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 299-310, May.
  304. Chiang, Thomas C. & Yu, Hai-Chin & Wu, Ming-Chya, 2009. "Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1555-1570.
  305. Li, Wei & Lam, Kin, 2002. "Optimal market timing strategies under transaction costs," Omega, Elsevier, vol. 30(2), pages 97-108, April.
  306. R. Ballini & A. R. R. Mendonça & F. Gomide, 2009. "Evolving fuzzy modelling in risk analysis," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 71-86, January.
  307. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  308. Marc Chesney & Alexander Kempf, 2012. "The value of tradeability," Review of Derivatives Research, Springer, vol. 15(3), pages 193-216, October.
  309. Mehmet Balcilar & Esin Cakan & Rangan Gupta, 2016. "Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test," Working Papers 201631, University of Pretoria, Department of Economics.
  310. Yoshua Bengio & François Gingras & Claude Nadeau, 2002. "On Out-of-Sample Statistics for Time-Series," CIRANO Working Papers 2002s-51, CIRANO.
  311. J. Harold Mulherin, 1990. "Regulation, Trading Volume and Stock Market Volatility," Revue Économique, Programme National Persée, vol. 41(5), pages 923-938.
  312. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
  313. Albrecht, Peter & Kantar, Cemil & Xiao, Yanying, 2004. "Mean Reversion-Effekte auf dem deutschen Aktienmarkt : Statistische Analysen der Entwicklung des DAX-KGV," Papers 04-08, Sonderforschungsbreich 504.
  314. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers 187407, University of Queensland, School of Economics.
  315. Jorge L. Urrutia, 1995. "Tests Of Random Walk And Market Efficiency For Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 299-309, September.
  316. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1413, August.
  317. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach," Economic Modelling, Elsevier, vol. 51(C), pages 227-241.
  318. Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," 2007 Meeting Papers 503, Society for Economic Dynamics.
  319. Wisniewski, Tomasz P. & Bohl, Martin T., 2005. "The Information Content of Registered Insider Trading Under Lax Law Enforcement," International Review of Law and Economics, Elsevier, vol. 25(2), pages 169-185, June.
  320. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
  321. Kamal, Mona, 2014. "Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution," MPRA Paper 54708, University Library of Munich, Germany.
  322. John Hatgioannides & Menelaos Karanasos & Marika Karanassou, 2004. "Modelling the Yield Curve: A Two Components Approach," Working Papers 519, Queen Mary University of London, School of Economics and Finance.
  323. Thomas Chiang & Lin Tan & Huimin Li, 2007. "Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 651-667.
  324. Aye, Goodness C. & Gil-Alana, Luis A. & Gupta, Rangan & Wohar, Mark E., 2017. "The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 283-294.
  325. Pawel STRAWINSKI & Robert SLEPACZUK, 2008. "Analysis Of High Frequency Data On The Warsaw Stock Exchange In The Context Of Efficient Market Hypothesis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 3(3(5)_Fall), pages 306-319.
  326. Yangru Wu, 2004. "Momentum Trading, Mean Reveral and Overration in Chinese Stock Market," Working Papers 232004, Hong Kong Institute for Monetary Research.
  327. Arnab Bhattacharjee & Sudipto Roy, 2019. "Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-1, March.
  328. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  329. Chazi, Abdelaziz & Khallaf, Ashraf & Liu, Yi & Zantout, Zaher, 2014. "Technology transactions, announcement effect, and reversal: Dissecting an anomaly," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 371-381.
  330. [{uri:http://thesaurus.iadb.org/idbthesauri/204932405116242739864891,value:Garcu00eda-Huitru00f3n, Manuel},{uri:http://thesaurus.iadb.org/idbthesauri/28936947797187105101626,value:Impavido, Gregorio},, 2018. "New Policies for Mandatory Defined Contribution Pensions: Industrial Organization Models and Investment Products," IDB Publications (Books), Inter-American Development Bank, number 365, January.
  331. Robert D. Arnott & Jason C. Hsu & Jun Liu & Harry Markowitz, 2015. "Can Noise Create the Size and Value Effects?," Management Science, INFORMS, vol. 61(11), pages 2569-2579, November.
  332. Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Leibniz Centre for European Economic Research.
  333. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64.
  334. R. Dacco & S. Satchell, 2001. "Forward and spot exchange rates in a bivariate TAR framework," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 131-143.
  335. Hill, Jonathan B. & Motegi, Kaiji, 2019. "Testing the white noise hypothesis of stock returns," Economic Modelling, Elsevier, vol. 76(C), pages 231-242.
  336. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited," Management Science, INFORMS, vol. 51(10), pages 1582-1592, October.
  337. 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.
  338. Gomes, Luís M. P. & Soares, Vasco J. S. & Gama, Sílvio M. A. & Matos, José A. O., 2018. "Long-term memory in Euronext stock indexes returns: an econophysics approach," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(4), pages 862-881, August.
  339. Chunsheng Zhou & Chang Qing, 2000. "A State-Space Model Of Short- And Long-Horizon Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 523-544, December.
  340. Hyeongwoo Kim & Liliana Stern & Michael Stern, 2009. "Nonlinear mean reversion in the G7 stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(5), pages 347-355.
  341. Moon, Seongman & Velasco, Carlos, 2013. "Tests for m-dependence based on sample splitting methods," Journal of Econometrics, Elsevier, vol. 173(2), pages 143-159.
  342. repec:onb:oenbwp:y::i:28:b:1 is not listed on IDEAS
  343. Numan Ulku, 2001. "Behavioral Finance Theories and the Price Behavior of the ISE Around the Start of the Disinflation Programme," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(17), pages 93-124.
  344. George Halkos & Ilias Kevork, 2005. "A comparison of alternative unit root tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(1), pages 45-60.
  345. Beng, Gan Wee, 2000. "Exchange-rate policy in East Asia after the fall: how much have things changed?," Journal of Asian Economics, Elsevier, vol. 11(4), pages 403-430.
  346. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
  347. Tsung-Kang Chen & Hsien-Hsing Liao & Hsiao-Chun Huang, 2014. "Macroeconomic risks of supply chain counterparties and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 463-481, October.
  348. Charles E. Hyde & David Beggs, 2009. "Style timing with the value spread in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(4), pages 781-798, December.
  349. Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B., 2009. "Riding Bubbles," ERIM Report Series Research in Management ERS-2009-058-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  350. Daniel, Kent, 2001. "The power and size of mean reversion tests," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 493-535, December.
  351. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
  352. Thiago Christiano Silva & Benjamin Miranda Tabak & Idamar Magalhães Ferreira, 2019. "Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies," Complexity, Hindawi, vol. 2019, pages 1-14, December.
  353. Gábor Bóta & Mihály Ormos, 2015. "Development of stock market pricing in Central and Eastern Europe through two decades after the transition," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 685-708, November.
  354. 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.
  355. Palani-Rajan Kadapakkam & Timothy Krause & Yiuman Tse, 2013. "Exchange Traded Funds, Size-Based Portfolios, And Market Efficiency," Working Papers 0214fin, College of Business, University of Texas at San Antonio.
  356. 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.
  357. Attila Odabasl & Celal Asku & Vedat Akgiray, 2004. "The statistical evolution of prices on the Istanbul stock exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 510-525.
  358. Ralph S. J. Koijen & Juan Carlos Rodríguez & Alessandro Sbuelz, 2009. "Momentum and Mean Reversion in Strategic Asset Allocation," Management Science, INFORMS, vol. 55(7), pages 1199-1213, July.
  359. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  360. Li Shuangjie & Hu Xuefeng & Wang Liming, 2020. "Could the Stock Market Adjust Itself? An Empirical Study Based on Mean Reversion Theory," Journal of Systems Science and Information, De Gruyter, vol. 8(2), pages 97-115, April.
  361. Kirt Butler & Katsushi Okada, 2009. "The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 1-15.
  362. Stephen Foerster, 2011. "Double then Nothing: Why Stock Investments Relying on Simple Heuristics May Disappoint," Review of Behavioral Finance, Emerald Group Publishing, vol. 3(2), pages 115-140, September.
  363. Narayan, Paresh Kumar, 2006. "The behaviour of US stock prices: Evidence from a threshold autoregressive model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 103-108.
  364. repec:ebl:ecbull:v:7:y:2007:i:3:p:1-8 is not listed on IDEAS
  365. 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.
  366. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
  367. Peixin (Payton) Liu & Kuan Xu & Yonggan Zhao, 2011. "Market regimes, sectorial investments, and time-varying risk premiums," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(2), pages 107-133, April.
  368. Hon, Mark T. & Tonks, Ian, 2003. "Momentum in the UK stock market," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 43-70, February.
  369. 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.
  370. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
  371. Yi-Mien Lin & Yun-Sheng Hsu & Shieh-Liang Chen, 2009. "Cash-flow news, market liquidity and liquidity risk," Applied Economics, Taylor & Francis Journals, vol. 41(9), pages 1137-1156.
  372. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  373. 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.
  374. Manuela CROCI, 2003. "An empirical analysis of international equity market co-movements: implications for informational efficiency," Working Papers 197, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  375. Olaf Stotz, 2005. "Active Portfolio Management, Implied Expected Returns, and Analyst Optimism," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(3), pages 261-275, October.
  376. Konstantinidi, Eirini & Skiadopoulos, George & Tzagkaraki, Emilia, 2008. "Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2401-2411, November.
  377. Ane, Thierry & Labidi, Chiraz, 2006. "Spillover effects and conditional dependence," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 417-442.
  378. 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.
  379. José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004. "Efficiency tests in the Iberian stock markets," Finance 0406001, University Library of Munich, Germany.
  380. 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.
  381. A. Mazaheri, 1999. "Convenience yield, mean reverting prices, and long memory in the petroleum market," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 31-50.
  382. Siddiqi, Hammad, 2013. "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper 48862, University Library of Munich, Germany.
  383. Lima, Luiz Antônio de Oliveira, 2000. "Crises financeiras e modelos de contágio," Textos para discussão 87, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  384. Claudio Borio, 2003. "Towards a Macroprudential Framework for Financial Supervision and Regulation?," CESifo Economic Studies, CESifo, vol. 49(2), pages 181-215.
  385. 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.
  386. 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.
  387. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
  388. Luca Benzoni & Pierre Collin‐Dufresne & Robert S. Goldstein, 2007. "Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated," Journal of Finance, American Finance Association, vol. 62(5), pages 2123-2167, October.
  389. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 1999. "Explaining movements in UK stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 1-19.
  390. Li, George, 2007. "Time-varying risk aversion and asset prices," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 243-257, January.
  391. 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.
  392. Thomas C. Chiang & Cathy W.S. Chen & Mike K.P. So, 2007. "Asymmetric Return and Volatility Responses to Composite News from Stock Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 11(3-4), pages 179-210, September.
  393. Deo, Rohit S. & Chen, Willa W., 2003. "The Variance Ratio Statistic at Large Horizons," Papers 2004,04, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
  394. Ma, Yao & Yang, Baochen & Su, Yunpeng, 2020. "Technical trading index, return predictability and idiosyncratic volatility," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 879-900.
  395. Suijs, J.P.M., 2002. "Post Earnings Announcement Drift : More Risk than Investors can Bear," Other publications TiSEM d6097fef-8dd8-4f8a-814a-7, Tilburg University, School of Economics and Management.
  396. Shen, Chung-Hua & Wang, Lee-Rong, 1998. "Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 251-273, August.
  397. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.
  398. Bianchi, Sergio & Pianese, Augusto, 2018. "Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 64-75.
  399. Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
  400. 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.
  401. 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.
  402. Delgado, Francisco & Dumas, Bernard & Puopolo, Giovanni W., 2015. "Hysteresis bands on returns, holding period and transaction costs," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 86-100.
  403. Gillman M. & Siklos & P.L.Silver & J.L., 1996. "Money Velocity with Costly Credit," Department of Economics - Working Papers Series 515, The University of Melbourne.
  404. Liam Gallagher, 1999. "A multi-country analysis of the temporary and permanent components of stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 129-142.
  405. Khurshid M. Kiani, 2006. "Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(3), pages 369-381.
  406. Maynard, Alex & Shimotsu, Katsumi, 2009. "Covariance-Based Orthogonality Tests For Regressors With Unknown Persistence," Econometric Theory, Cambridge University Press, vol. 25(1), pages 63-116, February.
  407. 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.
  408. Thomas A. Knetsch & Arne J. Nagengast, 2017. "Penny wise and pound foolish? On the income from Germany’s foreign investments," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(4), pages 753-778, November.
  409. Wing-Keung Wong & Meher Manzur & Boon-Kiat Chew, 2003. "How rewarding is technical analysis? Evidence from Singapore stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 543-551.
  410. Chae, Joon & Kim, Ryumi, 2020. "Contrarian profits of the firm-specific component on stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
  411. Brouwer, Frank & Ruiter, Hans de, 1997. "Asset class allocation and downside risk: does the investment horizon matter?," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  412. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
  413. Andrés Mirantes & Javier Población & Gregorio Serna, 2015. "Commodity derivative valuation under a factor model with time-varying market prices of risk," Review of Derivatives Research, Springer, vol. 18(1), pages 75-93, April.
  414. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
  415. Kos, Hartwig & Todorovic, Natasa, 2008. "S&P Global Sector survivals: Momentum effects in sector indices underlying iShares," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 520-540, August.
  416. P. Chelley-Steeley, 2004. "Serial correlation in the returns of UK capitalization based portfolios," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 975-979.
  417. Marco D'Errico & Gulnur Muradoglu & Silvana Stefani & Giovanni Zambruno, 2014. "Opinion Dynamics and Price Formation: a Nonlinear Network Model," Papers 1408.0308, arXiv.org.
  418. 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.
  419. 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.
  420. 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.
  421. Hammoudeh, Shawkat & Choi, Kyongwook, 2007. "Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 231-245, July.
  422. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
  423. Elizabeth Berko & John Clark, 1997. "Foreign investment fluctuations and emerging market stock returns: the case of Mexico," Staff Reports 24, Federal Reserve Bank of New York.
  424. Rafael Flores de Frutos, 1993. "Análisis del comportamiento de las cotizaciones reales en la bolsa de Madrid bajo la hipótesis de eficiencia," Documentos de Trabajo del ICAE 9301, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  425. Chris Brooks & Apostolos Katsaris, 2003. "Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 319-346, October.
  426. Du, Ding, 2008. "The 52-week high and momentum investing in international stock indexes," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 61-77, February.
  427. I. Róbert Sipos & Attila Ceffer & János Levendovszky, 2017. "Parallel Optimization of Sparse Portfolios with AR-HMMs," Computational Economics, Springer;Society for Computational Economics, vol. 49(4), pages 563-578, April.
  428. Sanderson, Rohnn, 2013. "Does Monetary Policy cause Randomness or Chaos? A Case Study from the European Central Bank," MPRA Paper 52537, University Library of Munich, Germany.
  429. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  430. Massimo Caruso, 2006. "Stock market fluctuations and money demand in Italy, 1913-2003," Temi di discussione (Economic working papers) 576, Bank of Italy, Economic Research and International Relations Area.
  431. Rosita P. Chang & Shuh‐Tzy Hsu & Nai‐Kuan Huang & S. Ghon Rhee, 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1‐2), pages 137-170, January.
  432. Michael DeStefano, 2004. "Stock Returns and the Business Cycle," The Financial Review, Eastern Finance Association, vol. 39(4), pages 527-547, November.
  433. B. Jirasakuldech & Riza Emekter & Unro Lee, 2008. "Business conditions and nonrandom walk behaviour of US stocks and bonds returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 659-672.
  434. Calice, Giovanni & Ioannidis, Christos & Miao, RongHui, 2016. "A Markov switching unobserved component analysis of the CDX index term premium," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 189-204.
  435. Guglielmo Maria Caporale & Luis Gil-Alana, 2010. "Multiple cyclical fractional structures in financial time series," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1079-1081.
  436. 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.
  437. Doyle, John R. & Chen, Catherine Huirong, 2012. "A multidimensional classification of market anomalies: Evidence from 76 price indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1237-1257.
  438. 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.
  439. Evans, Charles L. & Marshall, David A., 1998. "Monetary policy and the term structure of nominal interest rates: Evidence and theory," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 53-111, December.
  440. Pouget, Sébastien & Villeneuve, Stéphane, 2012. "A Mind is a Terrible Thing to Change: Confirmation Bias in Financial Markets," IDEI Working Papers 720, Institut d'Économie Industrielle (IDEI), Toulouse, revised Aug 2016.
  441. 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.
  442. Ioannis C. Moutzouris & Nikos K. Nomikos, 2019. "The formation of forward freight agreement rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 1008-1031, August.
  443. Chiang, Thomas C. & Nelling, Edward & Tan, Lin, 2008. "The speed of adjustment to information: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 216-229.
  444. Marcelo Bianconi & Federico Esposito & Marco Sammon, 2019. "Trade Policy Uncertainty and Stock Returns," Discussion Papers Series, Department of Economics, Tufts University 0830, Department of Economics, Tufts University.
  445. 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.
  446. Mahsa Ghorbani & Edwin K. P. Chong, 2018. "Stock Price Prediction using Principle Components," Papers 1803.05075, arXiv.org.
  447. Yin-Wong Cheung & Kon Lai, 1999. "Macroeconomic determinants of long-term stock market comovements among major EMS countries," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 73-85.
  448. 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.
  449. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department.
  450. Will, Matthias Georg, 2012. "Eine kurze Ideengeschichte der Kapitalmarkttheorie: Fundamentaldatenanalyse, Effizienzmarkthypothese und Behavioral Finance," Discussion Papers 2012-4, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
  451. Baltussen, Guido & van Bekkum, Sjoerd & Da, Zhi, 2019. "Indexing and stock market serial dependence around the world," Journal of Financial Economics, Elsevier, vol. 132(1), pages 26-48.
  452. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  453. Ulrike Malmendier & Geoffrey Tate, 2009. "Superstar CEOs," The Quarterly Journal of Economics, Oxford University Press, vol. 124(4), pages 1593-1638.
  454. Ekaterini Panopoulou & Nikitas Pittis & Sarantis Kalyvitis, 2010. "Looking far in the past: revisiting the growth-returns nexus with non-parametric tests," Empirical Economics, Springer, vol. 38(3), pages 743-766, June.
  455. Alexandre D'Aspremont, 2010. "Identifying small mean-reverting portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 351-364.
  456. Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
  457. 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.
  458. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 347-366, July.
  459. Gillemot, L. & Töyli, J. & Kertesz, J. & Kaski, K., 2000. "Time-independent models of asset returns revisited," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(1), pages 304-324.
  460. Ghysels, Eric & Cherkaoui, Mouna, 2003. "Emerging markets and trading costs: lessons from Casablanca," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 169-198, February.
  461. Charles Rayhorn & M. Kabir Hassan & Jung‐Suk Yu & Kenneth R. Janson, 2007. "Emerging Market Efficiencies: New Zealand's Maturation Experience in the Presence of Non‐Linearity, Thin Trading and Asymmetric Information," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 21-34, March.
  462. Mili, Mehdi, 2019. "The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets," Research in International Business and Finance, Elsevier, vol. 48(C), pages 187-200.
  463. 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.
  464. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia.
  465. 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.
  466. Elena Argentesi & Helmut Lütkepohl & Massimo Motta, 2010. "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," German Economic Review, Verein für Socialpolitik, vol. 11(3), pages 381-396, August.
  467. 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.
  468. repec:kap:iaecre:v:17:y:2011:i:3:p:258-273 is not listed on IDEAS
  469. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Regime-Switching Stock Returns And Mean Reversion," Working Papers 11-2000, Copenhagen Business School, Department of Economics.
  470. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
  471. Jean-Sébastien Michel, 2014. "Stock Market Overreaction to Management Earnings Forecasts," Cahiers de recherche 1319, CIRPEE.
  472. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
  473. 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.
  474. Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2007. "The Effect of Dividends on Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 231-292.
  475. Long Hai Vo & Duc Hong Vo, 2019. "Application of Wavelet-Based Maximum Likelihood Estimator in Measuring Market Risk for Fossil Fuel," Sustainability, MDPI, Open Access Journal, vol. 11(10), pages 1-1, May.
  476. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-395, July.
  477. Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, vol. 22(2), pages 206-234, April.
  478. Bastos, João A. & Caiado, Jorge, 2011. "Recurrence quantification analysis of global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(7), pages 1315-1325.
  479. Patricia M. Fairfield & Trevor S. Harris, 1993. "Price†Earnings and Price†to†Book Anomalies: Tests of an Intrinsic Value Explanation," Contemporary Accounting Research, John Wiley & Sons, vol. 9(2), pages 590-611, March.
  480. Thomas E. MaCurdy & John B. Shoven, 1999. "Asset Allocation and Risk Allocation: Can Social Security Improve Its Future Solvency Problem by Investing in Private Securities?," NBER Working Papers 7015, National Bureau of Economic Research, Inc.
  481. Siddiqi, Hammad, 2013. "Analogy Making In Complete and Incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 156934, University of Queensland, School of Economics.
  482. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
  483. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
  484. Saadet Kasman & Evrim Turgutlu & A. Duygu Ayhan, 2009. "Long memory in stock returns: evidence from the major emerging Central European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1763-1768.
  485. 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.
  486. Koustas, Zisimos & Lamarche, Jean-François & Serletis, Apostolos, 2008. "Threshold random walks in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 43-48.
  487. Priestley, Richard, 2001. "Time-varying persistence in expected returns," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1271-1286, July.
  488. Gary Smith, 2016. "Overreaction of Dow stocks," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1251831-125, December.
  489. 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.
  490. Daly, Kevin, 2008. "Financial volatility: Issues and measuring techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2377-2393.
  491. Paresh Kumar Narayan & Russell Smyth, 2005. "Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 547-556.
  492. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
  493. Jonathan Lewellen & Jay Shanken, 2000. "Estimation Risk, Market Efficiency, and the Predictability of Returns," NBER Working Papers 7699, National Bureau of Economic Research, Inc.
  494. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
  495. Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  496. Mahsa Ghorbani & Edwin K P Chong, 2020. "Stock price prediction using principal components," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
  497. Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 763-769.
  498. Clout, Victoria J. & Willett, Roger J., 2016. "Earnings in firm valuation and their value relevance," Journal of Contemporary Accounting and Economics, Elsevier, vol. 12(3), pages 223-240.
  499. Harmindar B. Nath & Vasilis Sarafidis, 2017. "Does persistence in idiosyncratic risk proxy return-reversals?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(8), pages 27-53, October.
  500. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  501. Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.
  502. Anton Andriyashin & Wolfgang Härdle & Roman Timofeev, 2008. "Recursive Portfolio Selection with Decision Trees," SFB 649 Discussion Papers SFB649DP2008-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  503. Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin, 2007. "Sources of contrarian profits in the Japanese stock market," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 261-286, June.
  504. Burton G. Malkiel, 2005. "Reflections on the Efficient Market Hypothesis: 30 Years Later," The Financial Review, Eastern Finance Association, vol. 40(1), pages 1-9, February.
  505. de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
  506. Narayan, Paresh Kumar & Narayan, Seema & Mishra, Sagarika, 2013. "Has the structural break slowed down growth rates of stock markets?," Economic Modelling, Elsevier, vol. 30(C), pages 595-601.
  507. Guo, Feng & Hu, Jinyan & Jiang, Mingming, 2013. "Monetary shocks and asymmetric effects in an emerging stock market: The case of China," Economic Modelling, Elsevier, vol. 32(C), pages 532-538.
  508. Andy Lardon & Christof Beuselinck & Marc Deloof, 2019. "Does stable ownership create value? Evidence from the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 573-642, February.
  509. Ricardo M. Sousa, 2011. "Wealth, Labour Income, Stock Returns and Government Bond Yields, and Financial Stress in the Euro Area," NIPE Working Papers 22/2011, NIPE - Universidade do Minho.
  510. Anton Andriyashin, 2008. "Stock Picking via Nonsymmetrically Pruned Binary Decision Trees," SFB 649 Discussion Papers SFB649DP2008-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  511. 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.
  512. 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.
  513. 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.
  514. Espinosa Méndez, Christian, 2007. "Efecto Fin De Semana Y Fin De Mes En El Mercado Bursatil Chileno [Effect Weekend And Effect Month End In The Chilean Stock Market]," MPRA Paper 3252, University Library of Munich, Germany.
  515. Benjamin M. Friedman & David I. Laibson, 1989. "Economic Implications of Extraordinary Movements in Stock Prices," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(2), pages 137-190.
  516. Shawky, Hany & Peng, Yajun, 1995. "Expected stock returns, real business activity and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 4(2-3), pages 143-154.
  517. Austin Shelton, 2017. "The value of stop-loss, stop-gain strategies in dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 18(2), pages 124-143, March.
  518. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
  519. Klein, Peter, 1999. "The capital gain lock-in effect and equilibrium returns," Journal of Public Economics, Elsevier, vol. 71(3), pages 355-378, March.
  520. 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.
  521. Snorre Lindset & Knut Anton Mork, 2019. "Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 7(1), pages 1-1, January.
  522. Naveed Ul Hassan & Bilal Aziz & Maryam Mushtaq, 2017. "Do Macro-Economic and Technical Indicators Matter?- a Principal Component Analysis Approach for Equity Risk Premium Prediction," European Journal of Economics and Business Studies Articles, European Center for Science Education and Research, vol. 3, EJES Sept.
  523. Ichkitidze, Yuri, 2018. "Temporary price trends in the stock market with rational agents," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 103-117.
  524. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
  525. Radovanov Boris & Marcikić Aleksandra, 2014. "Testing The Performance Of The Investment Portfolio Using Block Bootstrap Method," Economic Themes, Sciendo, vol. 52(2), pages 166-183, June.
  526. Kin Lam & Li Wei, "undated". "Optimal Trading Strategy When Return Process is AR(1)," Computing in Economics and Finance 1997 16, Society for Computational Economics.
  527. Hiremath, Gourishankar S & Bandi, Kamaiah, 2009. "On the random walk characteristics of stock returns in India," MPRA Paper 46499, University Library of Munich, Germany.
  528. Chen, Son-Nan & Jeon, Kisuk, 1998. "Mean reversion behavior of the returns on currency assets," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 185-200.
  529. Olan Henry, 2002. "Long memory in stock returns: some international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 725-729.
  530. Saumitra Bhaduri & Mahima Ravi, 2009. "Bubble in the Indian stock market: myth or reality," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 2(1), pages 79-92.
  531. 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.
  532. Cecilia Bermúdez & Carlos D. Dabús & Germán H. González, 2015. "Reexamining the link between instability and growth in Latin America: A dynamic panel data estimation using k-median clusters," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 52(1), pages 1-23, May.
  533. Daphne Sobolev & Nigel Harvey, 2016. "Assessing Risk in Graphically Presented Financial Series," Risk Analysis, John Wiley & Sons, vol. 36(12), pages 2216-2232, December.
  534. Randall Morck & Andrei Shleifer & Robert W. Vishny, 1990. "The Stock Market and Investment: Is the Market a Sideshow?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 157-216.
  535. Manfred Keil & Gary Smith & Margaret Smith, 2004. "Shrunken earnings predictions are better predictions," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 937-943.
  536. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
  537. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  538. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
  539. Simon van Norden & Huntley Schaller & ), 1995. "Speculative Behaviour, Regime-Switching, and Stock Market Crashes," Econometrics 9502003, University Library of Munich, Germany.
  540. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
  541. M. Victoria Esteban, 1997. "Variabilidad predecible en los rendimientos de los activos: Evidencia e implicaciones," Investigaciones Economicas, Fundación SEPI, vol. 21(3), pages 523-542, September.
  542. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York.
  543. John Hatgioannides & Menelaos Karanasos & Marika Karanassou, 2004. "Modelling the Yield Curve: A Two Components Approach," Working Papers 519, Queen Mary University of London, School of Economics and Finance.
  544. Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
  545. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
  546. Leung, Pui-Lam & Wong, Wing-Keung, 2008. "Three-factor profile analysis with GARCH innovations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 1-8.
  547. Ogden, Joseph P., 2003. "The calendar structure of risk and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 70(1), pages 29-67, October.
  548. Ľuboš Pástor & Robert F. Stambaugh, 2012. "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, vol. 67(2), pages 431-478, April.
  549. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  550. 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.
  551. Bhargava, Alok, 2014. "Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US," Journal of Econometrics, Elsevier, vol. 183(2), pages 241-250.
  552. Hemert, Otto van, 2005. "Optimal intergenerational risk sharing," LSE Research Online Documents on Economics 24660, London School of Economics and Political Science, LSE Library.
  553. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, University Library of Munich, Germany.
  554. repec:hrv:faseco:30747157 is not listed on IDEAS
  555. Kraft, Holger & Munk, Claus & Weiss, Farina, 2017. "Predictors and portfolios over the life cycle: Skill vs. luck," SAFE Working Paper Series 139, Leibniz Institute for Financial Research SAFE.
  556. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  557. 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.
  558. Gregory Koutmos, 1999. "Asymmetric index stock returns: evidence from the G-7," Applied Economics Letters, Taylor & Francis Journals, vol. 6(12), pages 817-820.
  559. Shaw, Kathryn L, 1996. "An Empirical Analysis of Risk Aversion and Income Growth," Journal of Labor Economics, University of Chicago Press, vol. 14(4), pages 626-653, October.
  560. Christis Hassapis, 2003. "Financial variables and real activity in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(2), pages 421-442, May.
  561. Richard Fu & Marco Pagani, 2012. "On the cointegration of international stock indices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 463-480, April.
  562. Simon Stevenson, 2001. "Bayes-Stein Estimators and International Real Estate Asset Allocation," Journal of Real Estate Research, American Real Estate Society, vol. 21(1/2), pages 89-104.
  563. Mika Vaihekoski, 1998. "Short-term returns and the predictability of Finnish stock returns," Finnish Economic Papers, Finnish Economic Association, vol. 11(1), pages 19-36, Spring.
  564. Roßbach, Peter, 2001. "Behavioral finance: eine Alternative zur vorherrschenden Kapitalmarkttheorie?," Frankfurt School - Working Paper Series 31, Frankfurt School of Finance and Management.
  565. Muhammad A. Cheema & Gilbert V. Nartea, 2017. "Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect," Working Papers in Economics 17/13, University of Canterbury, Department of Economics and Finance.
  566. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.
  567. Ramzi Boussaidi, 2017. "The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(3), pages 178-189, September.
  568. Doron Avramov, "undated". "Stock-Return Predictability and Model Uncertainty," Rodney L. White Center for Financial Research Working Papers 12-00, Wharton School Rodney L. White Center for Financial Research.
  569. Ranko Jelic & Richard Briston & Chris Mallin, 1999. "Gambling Banks and Firm Financing in Transition Economies," Multinational Finance Journal, Multinational Finance Journal, vol. 3(4), pages 253-282, December.
  570. Ding Du & Ou Hu, 2018. "The sentiment premium and macroeconomic announcements," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 207-237, January.
  571. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.
  572. 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.
  573. 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.
  574. 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.
  575. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December.
  576. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020. "Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market," Working Papers 202016, University of Pretoria, Department of Economics.
  577. 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.
  578. Kutan, Ali M. & Shi, Yukun & Wei, Mingzhe & Zhao, Yang, 2018. "Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 183-197.
  579. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Research Institute for Market Economy, Sogang University.
  580. Qing Zhou & Robert Faff, 2017. "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 113-139, February.
  581. Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 8(2), pages 1-1, April.
  582. Bwo-Nung Huang & Chin Yang, 1995. "The fractal structure in multinational stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 2(3), pages 67-71.
  583. Mitchell, Douglas W., 2001. "Effects of decision interval on optimal intertemporal portfolios with serially correlated returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 427-438.
  584. John Powell & Jing Shi & Tom Smith & Robert Whaley, 2009. "Common Divisors, Payout Persistence, and Return Predictability," International Review of Finance, International Review of Finance Ltd., vol. 9(4), pages 335-357, December.
  585. Duan, Yunpeng & Xue, Yi, 2014. "Bipower variation with jumps and correlated returns," Economics Letters, Elsevier, vol. 125(3), pages 367-371.
  586. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  587. repec:pra:mprapa:37980 is not listed on IDEAS
  588. Bhar, Ramaprasad & Hamori, Shigeyuki, 2004. "Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework," Economics Letters, Elsevier, vol. 82(2), pages 157-165, February.
  589. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
  590. Akarim, Yasemin Deniz & Sevim, Serafettin, 2013. "The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets," Economic Modelling, Elsevier, vol. 31(C), pages 453-459.
  591. Hikaru Saijo, 2019. "Technology Shocks and Hours Revisited: Evidence from Household Data," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 31, pages 347-362, January.
  592. Jakob B. Madsen, 2009. "The Macroeconomics Of Stock Prices In The Medium Term And In The Long Run," Manchester School, University of Manchester, vol. 77(2), pages 127-152, March.
  593. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  594. 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.
  595. He, Xue-Zhong & Li, Kai & Li, Youwei, 2018. "Asset allocation with time series momentum and reversal," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 441-457.
  596. Chaker Aloui, 2003. "Long-Range Dependence in Daily Volatility on Tunisian Stock Market," Working Papers 0340, Economic Research Forum, revised 12 2003.
  597. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
  598. Anning Wei & Raymond M. Leuthold, 1998. "Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?," Finance 9805001, University Library of Munich, Germany.
  599. Chen, Carl R. & Sauer, David A., 1997. "Mean reversion in asset returns with varying debt and equity components: Evidence and implications from preferred stock," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 683-696.
  600. 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.
  601. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April.
  602. Qi Zhang & Charlie X Cai & Kevin Keasey, 2009. "Forecasting using high-frequency data: a comparison of asymmetric financial duration models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 371-386.
  603. Steland, Ansgar, 2004. "Random walks with drift : a sequential approach," Technical Reports 2004,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  604. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
  605. Ravi Jagannathan & Narayana R. Kocherlakota, 1996. "Why should older people invest less in stock than younger people?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 20(Sum), pages 11-23.
  606. Leo Schubert, 2006. "Long-Short Portfolio," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 5, pages 1-11, December.
  607. Cooper, Michael J. & McConnell, John J. & Ovtchinnikov, Alexei V., 2006. "The other January effect," Journal of Financial Economics, Elsevier, vol. 82(2), pages 315-341, November.
  608. Velimir Šonje & Denis Alajbeg & Zoran Bubas, 2011. "Efficient market hypothesis: is the Croatian stock market as (in)efficient as the U.S. market," Financial Theory and Practice, Institute of Public Finance, vol. 35(3), pages 301-326.
  609. Patricia Fraser & Ronald MacDonald, 1993. "The Efficiency of CAC Stock Price Forecasts : a Survey Based Perspective," Revue Économique, Programme National Persée, vol. 44(5), pages 991-1000.
  610. Dominique Pépin & Stephen M. Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers 2020-09, University of Connecticut, Department of Economics.
  611. Smoluk, Herbert J. & Vasconcellos, Geraldo M. & Kramer, Jonathan K., 1998. "Random walks in the U.K. pound/ U.S. dollar exchange rates," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 65-82.
  612. Stéphane Hamayon & Florence Legros & Pradat Yannick, 2016. "Non gaussian returns: which impact on default options retirement plans? [Distribution non gaussienne des rendements : quel impact sur les options par défaut des plans d'épargne retraite ?]," Working Papers hal-03003588, HAL.
  613. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Diamonds — A precious new asset?," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 182-189.
  614. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  615. Liu, Shinhua, 2010. "Transaction costs and market efficiency: Evidence from commission deregulation," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 352-360, August.
  616. Rosita P. Chang & Shuh-Tzy Hsu & Nai-Kuan Huang & S. Ghon Rhee, 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 137-170.
  617. Zoran Popovic & Mihailo Paunovic, 2018. "The Dependence of the Cost of Capital on Degree of Diversification," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 14(1), pages 53-67.
  618. Petros Messis & Achilleas Zapranis, 2014. "Herding behaviour and volatility in the Athens Stock Exchange," Journal of Risk Finance, Emerald Group Publishing, vol. 15(5), pages 572-590, November.
  619. Samuel Mongrut Montalván, 2002. "Market Efficiency: An Empirical Survey In Peru And Other Selected Countries," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, vol. 29(51), pages 49-85.
  620. Terrance Grieb & Mario G. Reyes, 1999. "Random Walk Tests For Latin American Equity Indexes And Individual Firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 371-383, December.
  621. Gregory Koutmos & Andreas Pericli & Lenos Trigeorgis, 2006. "Short-term Dynamics in the Cyprus Stock Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 12(3), pages 205-216.
  622. Karolyi, G Andrew & Stulz, Rene M, 1996. "Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Journal of Finance, American Finance Association, vol. 51(3), pages 951-986, July.
  623. Valérie Mignon, 1998. "Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières," Économie et Prévision, Programme National Persée, vol. 132(1), pages 193-214.
  624. Firuz Kamalov, 2019. "Forecasting significant stock price changes using neural networks," Papers 1912.08791, arXiv.org.
  625. Mamatzakis, E. & Remoundos, P., 2011. "Testing for adjustment costs and regime shifts in BRENT crude futures market," Economic Modelling, Elsevier, vol. 28(3), pages 1000-1008, May.
  626. 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.
  627. Au, Pak Hung, 2016. "Price reaction and disagreement over public signal," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 81-106.
  628. Paresh Kumar Narayan & Russell Smyth, 2004. "Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 991-1004.
  629. Claudio Boido & Antonio Fasano, 2015. "CAPM with Sentiment," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 265-288, December.
  630. Chung, Kee H. & Smith, William T. & Wu, Tao L., 2009. "Time diversification: Definitions and some closed-form solutions," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1101-1111, June.
  631. Bange, Mary M. & De Bondt, Werner F. M., 1998. "R&D budgets and corporate earnings targets," Journal of Corporate Finance, Elsevier, vol. 4(2), pages 153-184, June.
  632. 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.
  633. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test," MPRA Paper 46502, University Library of Munich, Germany.
  634. Yuthana Sethapramote & Suthawan Prukumpai, 2012. "Souvenir production in community-based tourism and poverty reduction in Thailand," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(3), pages 113-130, September.
  635. Gropp, Jeffrey, 2004. "Mean reversion of industry stock returns in the U.S., 1926-1998," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 537-551, September.
  636. Entrop, Oliver & Fuchs, Fabian U., 2020. "Implicit currency carry trades of companies," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-41-20, University of Passau, Faculty of Business and Economics.
  637. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 767-782, May.
  638. Vamvakaris, Michail D. & Pantelous, Athanasios A. & Zuev, Konstantin M., 2018. "Time series analysis of S&P 500 index: A horizontal visibility graph approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 41-51.
  639. Choe, Kwang-Il & Nam, Kiseok & Vahid, Farshid, 2007. "Necessity of negative serial correlation for mean-reversion of stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(4), pages 576-583, September.
  640. Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
  641. 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.
  642. David Ashton & Mark Tippett, 2006. "Mean Reversion and the Distribution of United Kingdom Stock Index Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1586-1609, November.
  643. Jonathan Manton & Anton Muscatelli & Vikram Krishnamurthy & Stan Hurn, "undated". "Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise," Working Papers 9806, Business School - Economics, University of Glasgow.
  644. Rompotis, Gerasimos G., 2011. "Testing weak-form efficiency of exchange traded funds market," MPRA Paper 36020, University Library of Munich, Germany.
  645. Chaudhuri, Kausik & Wu, Yangru, 2003. "Random walk versus breaking trend in stock prices: Evidence from emerging markets," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 575-592, April.
  646. Partha Gangopadhyay, 1996. "Macroeconomic Variables And Seasonal Mean Reversion In Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 395-416, September.
  647. Hu, Ou, 2006. "Common and country-specific components in national stock prices," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 509-519, December.
  648. Christian Rehring & Steffen Sebastian, 2011. "Dynamics of commercial real estate asset markets, return volatility and the investment horizon," Journal of Property Research, Taylor & Francis Journals, vol. 28(4), pages 291-315, June.
  649. Mensi, Walid & Tiwari, Aviral Kumar & Al-Yahyaee, Khamis Hamed, 2019. "An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 168-177.
  650. Christine Lai & Tsung-Chyan Lai, 2009. "Analysing the c-minus-age strategy for life-cycle investing," Applied Economics Letters, Taylor & Francis Journals, vol. 16(7), pages 711-718.
  651. Nicholas Apergis & Emmanuel Mamatzakis & Christos Staikouras, 2011. "Testing for Regime Changes in Greek Sovereign Debt Crisis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 258-273, August.
  652. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
  653. Kim, Chang-Jin & Nelson, Charles R., 1998. "Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 385-396, October.
  654. 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.
  655. Sorin Daniliuc & Chris Bilson & Greg Shailer, 2014. "The Interaction of Post-Acquisition Integration and Acquisition Focus in Relation to Long-Run Performance," International Review of Finance, International Review of Finance Ltd., vol. 14(4), pages 587-612, December.
  656. 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.
  657. Nawazish Mirza & Daniel Danny Simatupang, 2004. "Comparative Systematic Risk Analysis: Evidence on the Banking Sector in the United States, Western Europe and South East Asia," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 9(1), pages 149-173, Jan-June.
  658. Chiang, Thomas C. & Jiang, Christine X., 1995. "Foreign exchange returns over short and long horizons," International Review of Economics & Finance, Elsevier, vol. 4(3), pages 267-282.
  659. Alan J. Marcus, 1989. "An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices," NBER Working Papers 3106, National Bureau of Economic Research, Inc.
  660. Marcelo Resende & Nilson Teixeira, 2002. "Permanent structural changes in the Brazilian economy and long memory: a stock market perspective," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 373-375.
  661. 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.
  662. John Kiff & Michael Kisser & Liliana B Schumacher, 2013. "Rating Through-the-Cycle; What does the Concept Imply for Rating Stability and Accuracy?," IMF Working Papers 13/64, International Monetary Fund.
  663. Weng, Pei-Shih & Tsai, Wei-Che, 2018. "Do foreign institutional traders have private information for the market index? The aspect of market microstructure," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 308-323.
  664. Gilbert V. Nartea & Muhammad A. Cheema & Kenneth R. Szulczyk, 2017. "Searching for rational bubble footprints in the Singaporean and Indonesian stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 529-552, July.
  665. Sorin Solomon & Moshe Levy, 2000. "Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model," Papers cond-mat/0005416, arXiv.org.
  666. Laopodis, Nikiforos T., 2009. "Fiscal policy and stock market efficiency: Evidence for the United States," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 633-650, May.
  667. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  668. Jorge Gregoire & Leonardo Letelier, 1998. "Desempeño Económico Agregado y Mercado Accionario: Un Análisis Empírico para el Caso Chileno," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 183-203.
  669. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
  670. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
  671. Haitham A. Al-Zoubi & Aktham Maghyereh, 2007. "Stationary Component in Stock Prices: A Reappraisal of Empirical Findings," Multinational Finance Journal, Multinational Finance Journal, vol. 11(3-4), pages 287-322, September.
  672. 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.
  673. Erdos, Péter & Ormos, Mihály, 2010. "Random walk theory and the weak-form efficiency of the US art auction prices," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1062-1076, May.
  674. Chiao, Chaoshin & Hung, Ken & Lee, Cheng F., 2004. "The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 709-731, December.
  675. 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.
  676. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
  677. Darryll Hendricks & Jayendu Patel & Richard Zeckhauser, 1990. "Hot Hands in Mutual Funds: The Persistence of Performance, 1974-87," NBER Working Papers 3389, National Bureau of Economic Research, Inc.
  678. Lee, Suk Hun & Sung, Hyun Mo & Urrutia, Jorge L., 1996. "The behavior of secondary market prices of LDC syndicated loans," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 537-554, April.
  679. Kim Kaivanto & Peng Zhang, 2019. "Investor Sentiment as a Predictor of Market Returns," Working Papers 268005798, Lancaster University Management School, Economics Department.
  680. Rui Alpalhao & Paulo Alves, 2005. "The Portuguese equity risk premium: what we know and what we don't know," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 489-498.
  681. James D. Shilling & C.F. Sirmans & Barrett A. Slade, 2017. "Spatial Correlation in Expected Returns in Commercial Real Estate Markets and the Role of Core Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 297-337, April.
  682. Pele, Daniel Traian & Voineagu, Virgil, 2008. "Testing Market Efficiency Via Decomposition Of Stock Return. Application To Romanian Capital Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(3), pages 63-79, September.
  683. Kathrin Tauscher & Martin Wallmeier, 2016. "Portfolio Overlapping Bias in Tests of the Fama–French Three†Factor Model," European Financial Management, European Financial Management Association, vol. 22(3), pages 367-393, June.
  684. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
  685. Laitenberger, Jörg, 2004. "Rendite und Kapitalkosten," Hannover Economic Papers (HEP) dp-295, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  686. Chen, Shyh-Wei & Shen, Chung-Hua, 2012. "Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach," Economic Modelling, Elsevier, vol. 29(2), pages 291-298.
  687. Qaiser Munir & Kasim Mansur, 2009. "Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1359-1370.
  688. Balvers, Ronald J. & Wu, Yangru, 2006. "Momentum and mean reversion across national equity markets," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 24-48, January.
  689. Peter S. Yoo, 1994. "Age dependent portfolio selection," Working Papers 1994-003, Federal Reserve Bank of St. Louis.
  690. Philip Shively, 2004. "Time-varying risk components in the single-factor market model: an exact most powerful invariant test," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 945-952.
  691. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
  692. Shinhua Liu, 2008. "Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 77-91, August.
  693. Siddiqi, Hammad, 2014. "Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew: Theory and Empirical Evidence," Risk and Sustainable Management Group Working Papers 177302, University of Queensland, School of Economics.
  694. Deren Unalmis & Ibrahim Unalmis & Derya Filiz Unsal, 2012. "On the Sources and Consequences of Oil Price Shocks : The Role of Storage," Working Papers 1230, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  695. Hiemstra, Craig & Jones, Jonathan D., 1997. "Another look at long memory in common stock returns," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 373-401, December.
  696. 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.
  697. Lee, Changju & Ku, Seungmo & Cho, Poongjin & Chang, Woojin, 2019. "Explaining future market return and evaluating market condition with common preferred spread index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 921-934.
  698. Rodriguez, Juan Carlos, 2006. "Consumption, the persistence of shocks, and asset price volatility," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1741-1760, November.
  699. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.
  700. Ammer, John & Mei, Jianping, 1996. "Measuring International Economic Linkages with Stock Market Data," Journal of Finance, American Finance Association, vol. 51(5), pages 1743-1763, December.
  701. Josef Lakonishok & Inmoo Lee, 1998. "Are Insiders' Trades Informative?," NBER Working Papers 6656, National Bureau of Economic Research, Inc.
  702. Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc.
  703. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
  704. Tamer Korkmaz, 2001. "The Investment of Emerging Capital Markets and the Role of Derivative Securities," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(17), pages 63-92.
  705. 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 Economia Aplicada, Estudios de Economia Aplicada, vol. 31, pages 555-576, Septiembr.
  706. Giannetti, A., 2007. "The short term predictive ability of earnings-price ratios: The recent evidence (1994-2003)," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 26-39, March.
  707. Corbet, Shaen & Katsiampa, Paraskevi, 2020. "Asymmetric mean reversion of Bitcoin price returns," International Review of Financial Analysis, Elsevier, vol. 71(C).
  708. 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.
  709. Lokman Gunduz & Mohammed Omran, 2001. "Stochastic Trends and Stock Prices in Emerging Markets: The Case of Middle East and North Africa Region," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(17), pages 1-22.
  710. Bessembinder, Hendrik & Chan, Kalok, 1995. "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 257-284, July.
  711. Lam, Kin & Liu, Taisheng & Wong, Wing-Keung, 2010. "A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction," European Journal of Operational Research, Elsevier, vol. 203(1), pages 166-175, May.
  712. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  713. Minardi, A., 2001. "Preços Passados prevendo Desempenho de Ações Brasileiras," Finance Lab Working Papers flwp_43, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  714. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
  715. Khim-Sen Liew & Kian-Ping Lim & Chee-Keong Choong, 2003. "On The Forecastability Of Asean-5 Stock Markets Returns Using Time Series Models," Finance 0307012, University Library of Munich, Germany.
  716. 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.
  717. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.