메뉴 건너뛰기




Volumn 28, Issue 2, 1996, Pages 267-272

Cointegration and tests of a present value model in the stock market

Author keywords

[No Author keywords available]

Indexed keywords


EID: 2342431793     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/000368496328902     Document Type: Article
Times cited : (9)

References (23)
  • 1
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews, D. K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 59, 817-58.
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, D.K.1
  • 2
    • 0000383942 scopus 로고
    • An improved heteroskedasticity and autocorrelation consistent convariance matrix estimator
    • Andrews, D. K. and Monahan, C. J. (1992) An improved heteroskedasticity and autocorrelation consistent convariance matrix estimator, Econometrica, 60, 953-66.
    • (1992) Econometrica , vol.60 , pp. 953-966
    • Andrews, D.K.1    Monahan, C.J.2
  • 3
    • 84963043564 scopus 로고
    • On the theory of testing for unit roots in observed time series
    • Bhargava, A. (1986) On the theory of testing for unit roots in observed time series, Review of Economic Studies, 53, 369-84.
    • (1986) Review of Economic Studies , vol.53 , pp. 369-384
    • Bhargava, A.1
  • 4
    • 84936220056 scopus 로고
    • Cointegration and tests of present value models
    • Campbell, J. Y. and Shiller, R. J. (1987) Cointegration and tests of present value models, Journal of Political Economy, 95, 1062-88.
    • (1987) Journal of Political Economy , vol.95 , pp. 1062-1088
    • Campbell, J.Y.1    Shiller, R.J.2
  • 5
    • 84977717068 scopus 로고
    • Stock prices, earnings, and expected dividends
    • Campbell, J. Y. and Shiller, R. J. (1988) Stock prices, earnings, and expected dividends, Journal of Finance, July, 661-676.
    • (1988) Journal of Finance , vol.JULY , pp. 661-676
    • Campbell, J.Y.1    Shiller, R.J.2
  • 6
    • 0000007521 scopus 로고
    • The dividend-price ratio and expectations of future dividends and discount factors
    • Campbell, J. Y. and Shiller, R. J. (1989) The dividend-price ratio and expectations of future dividends and discount factors, The Review of Financial Studies, 1, (3), 195-228.
    • (1989) The Review of Financial Studies , vol.1 , Issue.3 , pp. 195-228
    • Campbell, J.Y.1    Shiller, R.J.2
  • 7
    • 84936823544 scopus 로고
    • How big is the random walk in GNP?
    • Cochrane, J. H. (1988) How big is the random walk in GNP? Journal of Political Economy, 96, 839-920.
    • (1988) Journal of Political Economy , vol.96 , pp. 839-920
    • Cochrane, J.H.1
  • 8
    • 0003594346 scopus 로고
    • Cowles Commission for Research in Economics, Monograph No. 3, Principia Press, Bloomington
    • Cowles, A. and Associates (1939) Common Stock Indexes, 1871-1937, Cowles Commission for Research in Economics, Monograph No. 3, Principia Press, Bloomington.
    • (1939) Common Stock Indexes , pp. 1871-1937
    • Cowles, A.1
  • 9
    • 0000754766 scopus 로고
    • Explosive rational bubbles in stock prices?
    • Diba, B. T. and Grossman, H. I. (1988) Explosive rational bubbles in stock prices?, American Economic Review, 78, 520-30.
    • (1988) American Economic Review , vol.78 , pp. 520-530
    • Diba, B.T.1    Grossman, H.I.2
  • 10
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation, and testing
    • Engle, R. F. and Granger, C. W. J. (1987) Cointegration and error correction: representation, estimation, and testing. Econometrica, 55, 251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 11
    • 0000945847 scopus 로고
    • Pitfalls in testing for explosive bubbles in asset prices
    • Evans, G. W. (1991) Pitfalls in testing for explosive bubbles in asset prices, American Economic Review, 81, 922-30.
    • (1991) American Economic Review , vol.81 , pp. 922-930
    • Evans, G.W.1
  • 12
    • 84926275288 scopus 로고
    • Excess volatility in the financial markets: A reassessment of the empirical evidence
    • Flavin, M. A. (1983) Excess volatility in the financial markets: a reassessment of the empirical evidence, Journal of Political Economy, 91, 929-56.
    • (1983) Journal of Political Economy , vol.91 , pp. 929-956
    • Flavin, M.A.1
  • 14
    • 0010942106 scopus 로고
    • Formulating and estimating dynamic linear rational expectation models
    • Hansen, L. P. and Sargent, T. J. (1980) Formulating and estimating dynamic linear rational expectation models, Journal of economic dynamics and control, 2, 7-46.
    • (1980) Journal of Economic Dynamics and Control , vol.2 , pp. 7-46
    • Hansen, L.P.1    Sargent, T.J.2
  • 15
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models
    • Johansen, S. (1991) Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551-80.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 16
    • 84936387719 scopus 로고
    • Variance bounds tests and stock price valuation models
    • Kleidon, A. W. (1986) Variance bounds tests and stock price valuation models, Journal of Political Economy, 94, 953-1001.
    • (1986) Journal of Political Economy , vol.94 , pp. 953-1001
    • Kleidon, A.W.1
  • 17
    • 0001843716 scopus 로고
    • Stock price volatility: Tests based on implied variance bounds
    • LeRoy, S. F. and Porter, R. D. (1981) Stock price volatility: tests based on implied variance bounds, Econometrica, 49, 97-113.
    • (1981) Econometrica , vol.49 , pp. 97-113
    • LeRoy, S.F.1    Porter, R.D.2
  • 18
    • 0000106844 scopus 로고
    • Dividend variability and variance bounds tests for the rationality of stock market prices
    • Marsh, T. A. and Merton, R. C. (1986) Dividend variability and variance bounds tests for the rationality of stock market prices, American Economic Review, 76, 483-98.
    • (1986) American Economic Review , vol.76 , pp. 483-498
    • Marsh, T.A.1    Merton, R.C.2
  • 19
    • 0002489138 scopus 로고
    • Canonical cointegrating regressions
    • Park, J. Y. (1992) Canonical cointegrating regressions, Econometrica, 60, 119-43.
    • (1992) Econometrica , vol.60 , pp. 119-143
    • Park, J.Y.1
  • 20
    • 0003332240 scopus 로고
    • A new approach to testing for a unit root
    • Cornell University
    • Park, J. Y. and Choi, B. (1988) A new approach to testing for a unit root, CAE Working Paper, 88-23, Cornell University.
    • (1988) CAE Working Paper , vol.88 , Issue.23
    • Park, J.Y.1    Choi, B.2
  • 21
    • 0003741109 scopus 로고
    • Inference in cointegrated models using VAR prewhitening to estimate short-run dynamics
    • University of Rochester
    • Park, J. Y. and Ogaki, M. (1991) Inference in cointegrated models using VAR prewhitening to estimate short-run dynamics, Rochester Centre for Economic Research Working Paper, 281, University of Rochester.
    • (1991) Rochester Centre for Economic Research Working Paper , vol.281
    • Park, J.Y.1    Ogaki, M.2
  • 23
    • 0000893807 scopus 로고
    • Do stock prices move too much to be justified by subsequent changes in dividends?
    • Shiller, R. J. (1981) Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421-36.
    • (1981) American Economic Review , vol.71 , pp. 421-436
    • Shiller, R.J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.