메뉴 건너뛰기




Volumn 34, Issue 3, 1999, Pages 341-367

Long swings with memory and stock market fluctuations

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0033439958     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2676263     Document Type: Article
Times cited : (8)

References (45)
  • 1
    • 21844484174 scopus 로고
    • Exact solutions for expected rates of return under Markov regime switching: Implications for the equity premium puzzle
    • Aug.
    • Abel, A. B. "Exact Solutions for Expected Rates of Return under Markov Regime Switching: Implications for the Equity Premium Puzzle." Journal of Money, Credit and Banking, 26 (Aug. 1994), 345-361.
    • (1994) Journal of Money, Credit and Banking , vol.26 , pp. 345-361
    • Abel, A.B.1
  • 2
    • 0000501656 scopus 로고
    • Information theory and an extension of the maximum likelihood principle
    • B. N. Petrov and F. Csáki, eds. Akadémiai, Kiadó, Budapest
    • Akaike, H. "Information Theory and an Extension of the Maximum Likelihood Principle." In 2nd International Symposium on Information Theory, B. N. Petrov and F. Csáki, eds. Akadémiai, Kiadó, Budapest (1973), 267-281.
    • (1973) 2nd International Symposium on Information Theory , pp. 267-281
    • Akaike, H.1
  • 3
    • 0000552715 scopus 로고
    • Limited market participation and volatility of asset prices
    • Sept.
    • Allen F., and D. Gale. "Limited Market Participation and Volatility of Asset Prices." American Economic Review, 84 (Sept. 1994), 933-955.
    • (1994) American Economic Review , vol.84 , pp. 933-955
    • Allen, F.1    Gale, D.2
  • 4
    • 0002698496 scopus 로고
    • Nonparametric estimation of structural models for high-frequency currency market data
    • March-April
    • Bansal, R.; A. R. Gallant; R. Hussey; and G. Tauchen. "Nonparametric Estimation of Structural Models for High-Frequency Currency Market Data." Journal of Econometrics, 66 (March-April 1995), 251-287.
    • (1995) Journal of Econometrics , vol.66 , pp. 251-287
    • Bansal, R.1    Gallant, A.R.2    Hussey, R.3    Tauchen, G.4
  • 10
    • 84960560786 scopus 로고
    • Smart money, noise trading and stock price behaviour
    • Jan.
    • Campbell, J. Y., and A. S. Kyle. "Smart Money, Noise Trading and Stock Price Behaviour." Review of Economic Studies, 60 (Jan. 1993), 1-34.
    • (1993) Review of Economic Studies , vol.60 , pp. 1-34
    • Campbell, J.Y.1    Kyle, A.S.2
  • 11
    • 0000007521 scopus 로고
    • The dividend-price ratio and expectation of future dividends and discount factors
    • Fall
    • Campbell, J. Y., and R. J. Shiller. "The Dividend-Price Ratio and Expectation of Future Dividends and Discount Factors." Review of Financial Studies, 1 (Fall 1988), 195-228.
    • (1988) Review of Financial Studies , vol.1 , pp. 195-228
    • Campbell, J.Y.1    Shiller, R.J.2
  • 13
    • 38249005063 scopus 로고
    • The equity premium and the risk-free rate: Matching the moments
    • Feb.
    • Cecchetti, S. G.; P. S. Lam; and N. C. Mark. "The Equity Premium and the Risk-Free Rate: Matching the Moments." Journal of Monetary Economics, 31 (Feb. 1993), 21-45.
    • (1993) Journal of Monetary Economics , vol.31 , pp. 21-45
    • Cecchetti, S.G.1    Lam, P.S.2    Mark, N.C.3
  • 15
    • 0002848436 scopus 로고
    • Further evidence on business cycle duration dependence
    • J. H. Stock and M. W. Watson, eds. Chicago, IL: Univ. of Chicago Press
    • Diebold, F. X.; G. D. Rudebusch; and D. E. Sichel. "Further Evidence on Business Cycle Duration Dependence." In Business Cycles, Indicators and Forecasting, J. H. Stock and M. W. Watson, eds. Chicago, IL: Univ. of Chicago Press (1993).
    • (1993) Business Cycles, Indicators and Forecasting
    • Diebold, F.X.1    Rudebusch, G.D.2    Sichel, D.E.3
  • 16
    • 0030551225 scopus 로고    scopus 로고
    • A new dividend forecasting procedure that rejects bubbles in asset prices: The case of 1929's stock crash
    • Summer
    • Donaldson, R. G., amd M. Kamstra. "A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of 1929's Stock Crash." Review of Financial Studies, 9 (Summer 1996), 333-383.
    • (1996) Review of Financial Studies , vol.9 , pp. 333-383
    • Donaldson, R.G.1    Kamstra, M.2
  • 17
    • 0000771266 scopus 로고    scopus 로고
    • Dividend variability and stock market swings
    • Oct.
    • Evans, M. D. D. "Dividend Variability and Stock Market Swings." Review of Economic Studies, 65 (Oct. 1998), 711-740.
    • (1998) Review of Economic Studies , vol.65 , pp. 711-740
    • Evans, M.D.D.1
  • 18
    • 0002056097 scopus 로고
    • Dividend yields and expected stock returns
    • Oct.
    • Fama, E. F., and K. R. French. "Dividend Yields and Expected Stock Returns." Journal of Financial Economics, 22 (Oct. 1988), 3-25.
    • (1988) Journal of Financial Economics , vol.22 , pp. 3-25
    • Fama, E.F.1    French, K.R.2
  • 19
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Nov.
    • _. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics, 25 (Nov. 1989), 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
  • 20
    • 0002423952 scopus 로고
    • Asset price volatility, bubbles, and process switching
    • Sept.
    • Flood, R. P., and R. J. Hodrick. "Asset Price Volatility, Bubbles, and Process Switching." Journal of Finance, 41 (Sept. 1986), 831-842.
    • (1986) Journal of Finance , vol.41 , pp. 831-842
    • Flood, R.P.1    Hodrick, R.J.2
  • 21
    • 33746404294 scopus 로고    scopus 로고
    • Estimating stochastic differential equations efficiently by minimum chi-square
    • March
    • Gallant, A. R., and J. R. Long. "Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square, Biometrika, 84 (March 1997), 125-141.
    • (1997) Biometrika , vol.84 , pp. 125-141
    • Gallant, A.R.1    Long, J.R.2
  • 22
    • 0000650053 scopus 로고
    • Semi-nonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications
    • Sept.
    • Gallant, A. R., and g. Tauchen. "Semi-Nonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications." Econometrica, 57 (Sept. 1989), 1091-1120.
    • (1989) Econometrica , vol.57 , pp. 1091-1120
    • Gallant, A.R.1    Tauchen, G.2
  • 23
    • 18544376108 scopus 로고    scopus 로고
    • Which moment to match?
    • Oct.
    • _. "Which Moment to Match?" Econometric Theory, 12 (Oct. 1996), 657-681.
    • (1996) Econometric Theory , vol.12 , pp. 657-681
  • 25
    • 0000700546 scopus 로고
    • Nonlinear dynamic structures
    • July
    • _. "Nonlinear Dynamic Structures." Econometrica, 61 (July 1993), 871-907.
    • (1993) Econometrica , vol.61 , pp. 871-907
  • 26
    • 0001089891 scopus 로고
    • Econometric aspects of the variance bounds tests: A survey
    • Winter
    • Gilles, C., and S. F. LeRoy. " Econometric Aspects of the Variance Bounds Tests: A Survey." Review of Financial Studies, 4 (Winter 1991), 753-791.
    • (1991) Review of Financial Studies , vol.4 , pp. 753-791
    • Gilles, C.1    LeRoy, S.F.2
  • 27
    • 84993843443 scopus 로고
    • Testing the predictive power of dividend yields
    • July
    • Goetzmann, W. N., and P. Jorion. "Testing the Predictive Power of Dividend Yields." Journal of Finance, 48 (July 1993), 663-679.
    • (1993) Journal of Finance , vol.48 , pp. 663-679
    • Goetzmann, W.N.1    Jorion, P.2
  • 28
    • 21844493506 scopus 로고
    • A longer look at dividend yields
    • Oct.
    • _. "A Longer Look at Dividend Yields." Journal of Business, 68 (Oct. 1995), 483-508.
    • (1995) Journal of Business , vol.68 , pp. 483-508
  • 29
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • March
    • Hamilton, J. D. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle." Econometrica, 57 (March 1989), 357-384.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 30
    • 0000781833 scopus 로고
    • Expectations and volatility of consumption and asset returns
    • Summer
    • Kandel, S., and R. F. Stambaugh. "Expectations and Volatility of Consumption and Asset Returns." Review of Financial Studies, 3 (Summer 1990), 207-232.
    • (1990) Review of Financial Studies , vol.3 , pp. 207-232
    • Kandel, S.1    Stambaugh, R.F.2
  • 31
    • 21844510850 scopus 로고
    • The response of stock prices to permanent and temporary shocks to dividends
    • March
    • Lee, B. S. "The Response of Stock Prices to Permanent and Temporary Shocks to Dividends." Journal of Financial and Quantitative Analysis, 30 (March 1995), 1-22.
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , pp. 1-22
    • Lee, B.S.1
  • 32
    • 0010755107 scopus 로고
    • Stock price volatility: Tests based on the geometric random walk
    • Sept.
    • LeRoy, S. F., and W. Parke. "Stock Price Volatility: Tests Based on the Geometric Random Walk." American Economic Review, 82 (Sept. 1992), 981-992.
    • (1992) American Economic Review , vol.82 , pp. 981-992
    • LeRoy, S.F.1    Parke, W.2
  • 33
    • 0001843717 scopus 로고
    • The present-value relation: Tests based on implied variance bounds
    • May
    • LeRoy, S. F., and R. Porter. "The Present-Value Relation: Tests Based on Implied Variance Bounds." Econometrica, 49 (May 1981), 555-574.
    • (1981) Econometrica , vol.49 , pp. 555-574
    • LeRoy, S.F.1    Porter, R.2
  • 35
    • 0010811640 scopus 로고
    • Rational asset-price movements without news
    • Dec.
    • Romer, D. "Rational Asset-Price Movements without News." American Economic Review, 83 (Dec. 1993), 1112-1130.
    • (1993) American Economic Review , vol.83 , pp. 1112-1130
    • Romer, D.1
  • 36
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • March
    • Schwarz, G. "Estimating the Dimension of a Model." Annals of Statistics, 6 (March 1978), 461-464.
    • (1978) Annals of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 37
    • 84977707955 scopus 로고
    • Why does stock market volatility change over time?
    • Dec.
    • Schwert, G. W. "Why Does Stock Market Volatility Change over Time?" Journal of Finance, 44 (Dec. 1989), 1115-1153.
    • (1989) Journal of Finance , vol.44 , pp. 1115-1153
    • Schwert, G.W.1
  • 38
    • 0000893807 scopus 로고
    • Do stock prices move too much to be justified by subsequent changes in dividends?
    • June
    • Shiller, R. J. "Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?" American Economic Review, 71 (June 1981), 421-436.
    • (1981) American Economic Review , vol.71 , pp. 421-436
    • Shiller, R.J.1
  • 39
    • 0000461528 scopus 로고
    • Stock prices and social dynamics
    • _. "Stock Prices and Social Dynamics." Brookings Papers on Economic Activity (1984), 457-498.
    • (1984) Brookings Papers on Economic Activity , pp. 457-498
  • 40
    • 0004185654 scopus 로고
    • Cambridge, MA: MIT Press
    • _. Market Volatility. Cambridge, MA: MIT Press (1989).
    • (1989) Market Volatility
  • 41
    • 0032375162 scopus 로고    scopus 로고
    • Stock price volatility in a multiple security overlapping generations model
    • Summer
    • Spiegel, M. "Stock Price Volatility in a Multiple Security Overlapping Generations Model." Review of Financial Studies, 11 (Summer 1998), 419-447.
    • (1998) Review of Financial Studies , vol.11 , pp. 419-447
    • Spiegel, M.1
  • 42
    • 21344484980 scopus 로고
    • How learning in financial markets generates excess volatility and predictability in stock prices
    • Nov.
    • Timmermann, A. "How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices." Quarterly Journal of Economics, 108 (Nov. 1993), 1135-1145.
    • (1993) Quarterly Journal of Economics , vol.108 , pp. 1135-1145
    • Timmermann, A.1
  • 43
    • 0000268182 scopus 로고    scopus 로고
    • Excess volatility and predictability of stock prices in autoregressive dividend models with learning
    • October
    • _. "Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning, Review of Economic Studies, 63 (October 1996), 523-557.
    • (1996) Review of Economic Studies , vol.63 , pp. 523-557
  • 44
    • 38249004563 scopus 로고
    • The equity premium puzzle and the risk-free rate puzzle
    • Nov.
    • Weil, P. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle." Journal of Monetary Economics, 24 (Nov. 1989), 401-421.
    • (1989) Journal of Monetary Economics , vol.24 , pp. 401-421
    • Weil, P.1
  • 45
    • 84977713545 scopus 로고
    • Bubbles, fads and stock price volatility tests: A partial view
    • July
    • West, K. D. "Bubbles, Fads and Stock Price Volatility Tests: A Partial View." Journal of Finance, 43 (July 1988), 639-656.
    • (1988) Journal of Finance , vol.43 , pp. 639-656
    • West, K.D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.