메뉴 건너뛰기




Volumn 55, Issue 2, 2000, Pages 807-837

How does information quality affect stock returns?

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0007983127     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00227     Document Type: Article
Times cited : (231)

References (27)
  • 4
    • 77956771554 scopus 로고    scopus 로고
    • Asset prices, consumption and the business cycle
    • J. B. Taylor and M. Woodford, eds.: North Holland, Amsterdam
    • Campbell, John Y., 1999, Asset prices, consumption and the business cycle, manuscript, forthcoming in J. B. Taylor and M. Woodford, eds.: The Handbook of Macroeconomics, Volume 1 (North Holland, Amsterdam).
    • (1999) The Handbook of Macroeconomics , vol.1
    • Campbell, J.Y.1
  • 6
    • 0031312301 scopus 로고    scopus 로고
    • Fluctuating confidence in stock markets: Implications for returns and volatility
    • David, Alexander, 1997, Fluctuating confidence in stock markets: Implications for returns and volatility, Journal of Financial and Quantitative Analysis 32, 427-462.
    • (1997) Journal of Financial and Quantitative Analysis , vol.32 , pp. 427-462
    • David, A.1
  • 7
    • 84944835096 scopus 로고
    • Asset pricing in a production economy with incomplete information
    • Detemple, Jerome B., 1986, Asset pricing in a production economy with incomplete information, Journal of Finance 41, 383-392.
    • (1986) Journal of Finance , vol.41 , pp. 383-392
    • Detemple, J.B.1
  • 8
    • 0000859860 scopus 로고
    • Further results on asset pricing with incomplete information
    • Detemple, Jerome B., 1991, Further results on asset pricing with incomplete information, Journal of Economic Dynamics and Control 15, 425-454.
    • (1991) Journal of Economic Dynamics and Control , vol.15 , pp. 425-454
    • Detemple, J.B.1
  • 9
    • 0001660676 scopus 로고
    • Intertemporal asset pricing with heterogeneous beliefs
    • Detemple, Jerome B., and Shashidhar Murthy, 1994, Intertemporal asset pricing with heterogeneous beliefs, Journal of Economic Theory 62, 294-320.
    • (1994) Journal of Economic Theory , vol.62 , pp. 294-320
    • Detemple, J.B.1    Murthy, S.2
  • 10
    • 0009186749 scopus 로고
    • Equilibrium interest rates and multiperiod bonds in a partially observable economy
    • Dothan, Michael U., and David Feldman, 1986, Equilibrium interest rates and multiperiod bonds in a partially observable economy, Journal of Finance 41, 369-382.
    • (1986) Journal of Finance , vol.41 , pp. 369-382
    • Dothan, M.U.1    Feldman, D.2
  • 11
    • 0000842941 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework
    • Epstein, Larry G., and Stanley E. Zin, 1989, Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework, Econometrica 57, 937-969.
    • (1989) Econometrica , vol.57 , pp. 937-969
    • Epstein, L.G.1    Zin, S.E.2
  • 12
    • 84977724655 scopus 로고
    • The term structure of interest rates in a partially observable economy
    • Feldman, David, 1989, The term structure of interest rates in a partially observable economy, Journal of Finance 44, 789-812
    • (1989) Journal of Finance , vol.44 , pp. 789-812
    • Feldman, D.1
  • 13
    • 84944832936 scopus 로고
    • Optimal portfolio choice under incomplete information
    • Gennotte, Gerard, 1986, Optimal portfolio choice under incomplete information, Journal of Finance 41, 733-746.
    • (1986) Journal of Finance , vol.41 , pp. 733-746
    • Gennotte, G.1
  • 14
    • 0030538093 scopus 로고    scopus 로고
    • General equilibrium with constant relative risk aversion and Vasicek interest rates
    • Goldstein, Robert, and Fernando Zapatero, 1996, General equilibrium with constant relative risk aversion and Vasicek interest rates, Mathematical Finance 6, 331-340.
    • (1996) Mathematical Finance , vol.6 , pp. 331-340
    • Goldstein, R.1    Zapatero, F.2
  • 17
    • 0000337210 scopus 로고    scopus 로고
    • Earnings and expected returns
    • Lamont, Owen, 1998, Earnings and expected returns Journal of Finance 53, 1563-1587.
    • (1998) Journal of Finance , vol.53 , pp. 1563-1587
    • Lamont, O.1
  • 19
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas, Robert E. Jr., 1978, Asset prices in an exchange economy, Econometrica 46, 1429-1446.
    • (1978) Econometrica , vol.46 , pp. 1429-1446
    • Lucas, R.E.1
  • 21
    • 85025724501 scopus 로고
    • On estimating the expected return on the market: An exploratory investigation
    • Merton, Robert C., 1980, On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics 8, 323-361
    • (1980) Journal of Financial Economics , vol.8 , pp. 323-361
    • Merton, R.C.1
  • 22
    • 0039165833 scopus 로고    scopus 로고
    • Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach
    • Scruggs, John T., 1998, Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach, Journal of Finance, 53, 575-603.
    • (1998) Journal of Finance , vol.53 , pp. 575-603
    • Scruggs, J.T.1
  • 23
    • 21344484980 scopus 로고
    • How learning in financial markets generates excess volatility and predictability of stock returns
    • Timmerman, Alan G., 1993, How learning in financial markets generates excess volatility and predictability of stock returns, Quarterly Journal of Economics 108, 1135-1145.
    • (1993) Quarterly Journal of Economics , vol.108 , pp. 1135-1145
    • Timmerman, A.G.1
  • 24
    • 0033407259 scopus 로고    scopus 로고
    • Stock market overreaction to bad news in good times: A rational expectations equilibrium model
    • Veronesi, Pietro, 1999, Stock market overreaction to bad news in good times: A rational expectations equilibrium model, Review of Financial Studies 12, 975-1007.
    • (1999) Review of Financial Studies , vol.12 , pp. 975-1007
    • Veronesi, P.1
  • 25
    • 84960614899 scopus 로고
    • A model of intertemporal asset prices under asymmetric information
    • Wang, Jiang, 1993, A model of intertemporal asset prices under asymmetric information, Review of Economic Studies 60, 249-282.
    • (1993) Review of Economic Studies , vol.60 , pp. 249-282
    • Wang, J.1
  • 26
    • 0000957317 scopus 로고
    • Capital asset prices with heterogeneous beliefs
    • Williams, Joseph T., 1977, Capital asset prices with heterogeneous beliefs, Journal of Financial Economics 5, 219-239.
    • (1977) Journal of Financial Economics , vol.5 , pp. 219-239
    • Williams, J.T.1
  • 27
    • 0032044523 scopus 로고    scopus 로고
    • Effects of financial innovations on market volatility when beliefs are heterogeneous
    • Zapatero, Fernando, 1998, Effects of financial innovations on market volatility when beliefs are heterogeneous, Journal of Economic Dynamics and Control 22, 597-626.
    • (1998) Journal of Economic Dynamics and Control , vol.22 , pp. 597-626
    • Zapatero, F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.