-
3
-
-
84986837751
-
The statistics of long-horizon regressions revisited
-
Boudoukh, Jacob, and Matthew Richardson. 1994. The statistics of long-horizon regressions revisited. Mathematical Finance 4:103-19.
-
(1994)
Mathematical Finance
, vol.4
, pp. 103-119
-
-
Boudoukh, J.1
Richardson, M.2
-
4
-
-
0347530051
-
Investor sentiment and the near-term stock market
-
Brown, Gregory W., and Michael T. Cliff. 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 11:1-27.
-
(2004)
Journal of Empirical Finance
, vol.11
, pp. 1-27
-
-
Brown, G.W.1
Cliff, M.T.2
-
5
-
-
0344839169
-
Stock returns and the term structure
-
Campbell, John Y. 1987. Stock returns and the term structure. Journal of Financial Economics 18:373-99.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 373-399
-
-
Campbell, J.Y.1
-
6
-
-
0000433727
-
A variance decomposition for stock returns
-
_. 1991. A variance decomposition for stock returns. Economic Journal 101:157-79.
-
(1991)
Economic Journal
, vol.101
, pp. 157-179
-
-
-
7
-
-
0000007521
-
The dividend-price ratio and expectations of future dividends and discount factors
-
Campbell, John Y., and Robert J. Shiller. 1988a. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1:195-228.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 195-228
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
8
-
-
84977717068
-
Stock prices, earnings, and expected dividends
-
_. 1988b. Stock prices, earnings, and expected dividends. Journal of Finance 43: 661-76.
-
(1988)
Journal of Finance
, vol.43
, pp. 661-676
-
-
-
9
-
-
0002624840
-
On persistence in mutual fund performance
-
Carhart, Mark M. 1997. On persistence in mutual fund performance. Journal of Finance 52:57-82.
-
(1997)
Journal of Finance
, vol.52
, pp. 57-82
-
-
Carhart, M.M.1
-
10
-
-
84993877357
-
Are the discounts on closed-end funds a sentiment index?
-
Chen, Nai-fu, Raymond Kan, and Merton Miller. 1993. Are the discounts on closed-end funds a sentiment index? Journal of Finance 48:795-800.
-
(1993)
Journal of Finance
, vol.48
, pp. 795-800
-
-
Chen, N.-F.1
Kan, R.2
Miller, M.3
-
12
-
-
8744258405
-
Investor psychology and security market under- And overreactions
-
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam. 1998. Investor psychology and security market under- and overreactions. Journal of Finance 53:1839-86.
-
(1998)
Journal of Finance
, vol.53
, pp. 1839-1886
-
-
Daniel, K.1
Hirshleifer, D.2
Subrahmanyam, A.3
-
13
-
-
84896163468
-
The bubble of 1929: Evidence from closed-end funds
-
DeLong, J. Bradford, and Andrei Shleifer. 1991. The bubble of 1929: Evidence from closed-end funds. Journal of Economic History 51:675-700.
-
(1991)
Journal of Economic History
, vol.51
, pp. 675-700
-
-
DeLong, J.B.1
Shleifer, A.2
-
14
-
-
84936526743
-
Noise trader risk in financial markets
-
DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98:703-38.
-
(1990)
Journal of Political Economy
, vol.98
, pp. 703-738
-
-
DeLong, J.B.1
Shleifer, A.2
Summers, L.H.3
Waldmann, R.J.4
-
15
-
-
0003167344
-
Term-structure forecasts of interest rates, inflation, and real returns
-
Fama, Eugene. 1990. Term-structure forecasts of interest rates, inflation, and real returns. Journal of Monetary Economics 25:59-76.
-
(1990)
Journal of Monetary Economics
, vol.25
, pp. 59-76
-
-
Fama, E.1
-
16
-
-
0346207692
-
Market efficiency, long-term returns, and behavioral finance
-
_. 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49:283-306.
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 283-306
-
-
-
17
-
-
0002056097
-
Dividend yields and expected stock returns
-
Fama, Eugene, and Kenneth French. 1988. Dividend yields and expected stock returns. Journal of Financial Economics 22:3-25.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 3-25
-
-
Fama, E.1
French, K.2
-
18
-
-
34250890715
-
Business conditions and expected returns on stocks and bonds
-
_. 1989. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics 25:23-49.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 23-49
-
-
-
19
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
_. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33:3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
-
22
-
-
0344926002
-
Investor sentiment and stock returns
-
Fisher, Kenneth L., and Meir Statman. 2000. Investor sentiment and stock returns. Financial Analysts Journal (March-April): 16-23.
-
(2000)
Financial Analysts Journal
, Issue.MARCH-APRIL
, pp. 16-23
-
-
Fisher, K.L.1
Statman, M.2
-
24
-
-
0003410290
-
-
Princeton, NJ: Princeton University Press
-
Hamilton, James D. 1994. Time series analysis. Princeton, NJ: Princeton University Press.
-
(1994)
Time Series Analysis
-
-
Hamilton, J.D.1
-
25
-
-
0000714094
-
Forward exchange rates as optimal predictors of future spot rates: An empirical analysis
-
Hansen, Lars Peter, and Robert J. Hodrick. 1980. Forward exchange rates as optimal predictors of future spot rates: An empirical analysis. Journal of Political Economy 88:829-53.
-
(1980)
Journal of Political Economy
, vol.88
, pp. 829-853
-
-
Hansen, L.P.1
Hodrick, R.J.2
-
26
-
-
0000398111
-
Investor psychology and asset pricing
-
Hirshleifer, David. 2001. Investor psychology and asset pricing. Journal of Finance 56: 1533-98.
-
(2001)
Journal of Finance
, vol.56
, pp. 1533-1598
-
-
Hirshleifer, D.1
-
27
-
-
0000789996
-
Dividend yields and expected stock returns: Alternative procedures for inference and measurement
-
Hodrick, Robert J. 1992. Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Review of Financial Studies 5:357-86.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 357-386
-
-
Hodrick, R.J.1
-
28
-
-
0039372663
-
Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies
-
Hong, Harrison, Terence Lim, and Jeremy C. Stein. 2000. Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. Journal of Finance 55:265-95.
-
(2000)
Journal of Finance
, vol.55
, pp. 265-295
-
-
Hong, H.1
Lim, T.2
Stein, J.C.3
-
29
-
-
0012166025
-
A unified theory of underreaction, momentum trading, and overreaction in asset markets
-
Hong, Harrison, and Jeremy C. Stein. 1999. A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance 54:2143-84.
-
(1999)
Journal of Finance
, vol.54
, pp. 2143-2184
-
-
Hong, H.1
Stein, J.C.2
-
30
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for stock market efficiency
-
Jegadeesh, Narasimhan, and Sheridan Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48:65-91.
-
(1993)
Journal of Finance
, vol.48
, pp. 65-91
-
-
Jegadeesh, N.1
Titman, S.2
-
31
-
-
46149129689
-
Predicting returns in the bond and stock markets
-
Keim, Donald B., and Robert F. Stambaugh. 1986. Predicting returns in the bond and stock markets. Journal of Financial Economics 17:357-90.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 357-390
-
-
Keim, D.B.1
Stambaugh, R.F.2
-
32
-
-
0003489782
-
Can the market add and subtract? Mispricing in tech stock carve-outs
-
University of Chicago
-
Lamont, Owen A., and Richard H. Thaler. 2001. Can the market add and subtract? Mispricing in tech stock carve-outs. Working paper, University of Chicago.
-
(2001)
Working Paper
-
-
Lamont, O.A.1
Thaler, R.H.2
-
33
-
-
0001122260
-
What is the intrinsic value of the Dow?
-
Lee, Charles M. C., James Myers, and Bhaskaran Swaminathan. 1999. What is the intrinsic value of the Dow? Journal of Finance 54:1693-1741.
-
(1999)
Journal of Finance
, vol.54
, pp. 1693-1741
-
-
Lee, C.M.C.1
Myers, J.2
Swaminathan, B.3
-
34
-
-
84977736029
-
Investor sentiment and the closed-end fund puzzle
-
Lee, Charles, Andrei Shleifer, and Richard Thaler. 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46:75-109.
-
(1991)
Journal of Finance
, vol.46
, pp. 75-109
-
-
Lee, C.1
Shleifer, A.2
Thaler, R.3
-
35
-
-
84944837822
-
The aggregation of investor's diverse judgments and preferences in purely competitive security markets
-
Lintner, John. 1969. The aggregation of investor's diverse judgments and preferences in purely competitive security markets. Journal of Financial and Quantitative Analysis 4: 347-400.
-
(1969)
Journal of Financial and Quantitative Analysis
, vol.4
, pp. 347-400
-
-
Lintner, J.1
-
36
-
-
0010638949
-
Hot markets, investor sentiment, and IPO pricing
-
New York University
-
Ljungqvist, Alexander P., Vikram Nanda, and Rajdeep Singh. 2002. Hot markets, investor sentiment, and IPO pricing. Working paper. New York University.
-
(2002)
Working Paper
-
-
Ljungqvist, A.P.1
Nanda, V.2
Singh, R.3
-
39
-
-
0000706085
-
A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, Whitney, and Kenneth West. 1987. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703-8.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
40
-
-
0142220546
-
DotCom mania: A survey of market efficiency in the Internet sector
-
New York University
-
Ofek, Eli, and Matthew Richardson. 2001. DotCom mania: A survey of market efficiency in the Internet sector. Working paper. New York University.
-
(2001)
Working Paper
-
-
Ofek, E.1
Richardson, M.2
-
41
-
-
0004074523
-
Consumer sentiment and the stock market
-
Federal Reserve Board of Governors
-
Otoo, Maria Ward. 1999. Consumer sentiment and the stock market. Working paper, Federal Reserve Board of Governors.
-
(1999)
Working Paper
-
-
Otoo, M.W.1
-
42
-
-
0040291319
-
Massively confused investors making conspicuously ignorant choices (MCI-MCIC)
-
Rashes, Michael S. 2001. Massively confused investors making conspicuously ignorant choices (MCI-MCIC). Journal of Finance 56:1911-27.
-
(2001)
Journal of Finance
, vol.56
, pp. 1911-1927
-
-
Rashes, M.S.1
-
43
-
-
0000649048
-
Tests of financial models in the presence of overlapping observations
-
Richardson, Matthew, and Tom Smith. 1991. Tests of financial models in the presence of overlapping observations. Review of Financial Studies 4:227-54.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 227-254
-
-
Richardson, M.1
Smith, T.2
-
44
-
-
38249025506
-
Drawing inferences from statistics based on multiyear asset returns
-
Richardson, Matthew, and James H. Stock. 1989. Drawing inferences from statistics based on multiyear asset returns. Journal of Financial Economics 25:323-48.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 323-348
-
-
Richardson, M.1
Stock, J.H.2
-
45
-
-
4344640362
-
Risk, mispricing, and asset allocation: Conditioning on the dividend yield
-
University of Rochester
-
Shanken, Jay, and Ane Tamayo. 2001. Risk, mispricing, and asset allocation: Conditioning on the dividend yield. Worjking paper, University of Rochester.
-
(2001)
Worjking Paper
-
-
Shanken, J.1
Tamayo, A.2
-
46
-
-
0036858944
-
Reexamining stock valuation and inflation: The implications of analysts' earnings forecasts
-
Sharpe, Steven A. 2002. Reexamining stock valuation and inflation: The implications of analysts' earnings forecasts. Review of Economics and Statistics 84:632-48.
-
(2002)
Review of Economics and Statistics
, vol.84
, pp. 632-648
-
-
Sharpe, S.A.1
-
47
-
-
0004179594
-
-
Princeton, NJ: Princeton University Press
-
Shiller, Robert J. 2000. Irrational exuberance. Princeton, NJ: Princeton University Press.
-
(2000)
Irrational Exuberance
-
-
Shiller, R.J.1
-
49
-
-
0001969856
-
How useful is the sentiment index?
-
Solt, Michael E., and Meir Statman. 1988. How useful is the sentiment index? Financial Analysts Journal (September-October): 45-55.
-
(1988)
Financial Analysts Journal
, Issue.SEPTEMBER-OCTOBER
, pp. 45-55
-
-
Solt, M.E.1
Statman, M.2
-
51
-
-
84924508526
-
Does the stock market rationally reflect fundamental values?
-
Summers, Lawrence H. 1986. Does the stock market rationally reflect fundamental values? Journal of Finance 41:591-601.
-
(1986)
Journal of Finance
, vol.41
, pp. 591-601
-
-
Summers, L.H.1
-
52
-
-
0030506194
-
Time-varying expected small firm returns and closed-end fund discounts
-
Swaminathan, B. 1996. Time-varying expected small firm returns and closed-end fund discounts. Review of Financial Studies 9:845-87.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 845-887
-
-
Swaminathan, B.1
-
53
-
-
0033407259
-
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
-
54
-
-
0003025341
-
The stock market boom and crash of 1929 revisited
-
White, Eugene. 1990. The stock market boom and crash of 1929 revisited. Journal of Economic Perspectives 4:67-83.
-
(1990)
Journal of Economic Perspectives
, vol.4
, pp. 67-83
-
-
White, E.1
|