메뉴 건너뛰기




Volumn 77, Issue 2, 2004, Pages 275-294

The predictability of aggregate stock market returns: Evidence based on glamour stocks

Author keywords

[No Author keywords available]

Indexed keywords


EID: 3042561276     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/381275     Document Type: Article
Times cited : (22)

References (31)
  • 1
    • 0039739798 scopus 로고    scopus 로고
    • Mental accounting, loss aversion, and individual stock returns
    • Barberis, Nicholas, and Ming Huang. 2001. Mental accounting, loss aversion, and individual stock returns. Journal of Finance 56 (August): 1247-95.
    • (2001) Journal of Finance , vol.56 , Issue.AUGUST , pp. 1247-1295
    • Barberis, N.1    Huang, M.2
  • 3
    • 84906006114 scopus 로고
    • Myopic loss aversion and the equity premium puzzle
    • Benartzi, Shlomo, and Richard Thaler. 1995. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 110:73-92.
    • (1995) Quarterly Journal of Economics , vol.110 , pp. 73-92
    • Benartzi, S.1    Thaler, R.2
  • 4
    • 84960560786 scopus 로고
    • Smart money, noise trading, and stock price behaviour
    • Campbell, John Y., and Albert S. Kyle. 1993. Smart money, noise trading, and stock price behaviour. Review of Economic Studies 60 (January): 1-34.
    • (1993) Review of Economic Studies , vol.60 , Issue.JANUARY , pp. 1-34
    • Campbell, J.Y.1    Kyle, A.S.2
  • 5
    • 0000007521 scopus 로고
    • The dividend price ratio and expectations of future dividends and discount factors
    • Campbell, John Y., and Robert Shiller. 1988. The dividend price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1 (Fall): 195-228.
    • (1988) Review of Financial Studies , vol.1 , Issue.FALL , pp. 195-228
    • Campbell, J.Y.1    Shiller, R.2
  • 6
    • 8744258405 scopus 로고    scopus 로고
    • Investor psychology and investor security market under- And overreactions
    • Daniel, Kent, Daniel Hirshleifer, and Avinadhar Subrahmanyam. 1998. Investor psychology and investor security market under- and overreactions. Journal of Finance 53 (December): 1839-86.
    • (1998) Journal of Finance , vol.53 , Issue.DECEMBER , pp. 1839-1886
    • Daniel, K.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 7
    • 24044504223 scopus 로고
    • Betting on trends: Intuitive forecasts of financial risk and return
    • Debondt, Werner. 1993. Betting on trends: Intuitive forecasts of financial risk and return. International Journal of Forecasting 9:355-71.
    • (1993) International Journal of Forecasting , vol.9 , pp. 355-371
    • Debondt, W.1
  • 9
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • Fama, Eugene F., and Kenneth R. French. 1988a. Permanent and temporary components of stock prices. Journal of Political Economy 96 (April): 246-73.
    • (1988) Journal of Political Economy , vol.96 , Issue.APRIL , pp. 246-273
    • Fama, E.F.1    French, K.R.2
  • 10
    • 0002056097 scopus 로고
    • Dividend yields and expected stock returns
    • _. 1988b. Dividend yields and expected stock returns. Journal of Financial Economics 22 (October): 3-25.
    • (1988) Journal of Financial Economics , vol.22 , Issue.OCTOBER , pp. 3-25
  • 11
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • _. 1989. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics 25 (November): 23-49.
    • (1989) Journal of Financial Economics , vol.25 , Issue.NOVEMBER , pp. 23-49
  • 12
    • 28144438924 scopus 로고    scopus 로고
    • Differences of opinion, rational arbitrage and market crashes
    • Stanford University, School of Business
    • Hong, Harrison, and Jeremy Stein. 1999a. Differences of opinion, rational arbitrage and market crashes. Working paper, Stanford University, School of Business.
    • (1999) Working Paper
    • Hong, H.1    Stein, J.2
  • 13
    • 0012166025 scopus 로고    scopus 로고
    • A unified theory of under-reaction, momentum trading and overreaction in asset markets
    • _. A unified theory of under-reaction, momentum trading and overreaction in asset markets. Journal of Finance 54 (December): 2143-84.
    • Journal of Finance , vol.54 , Issue.DECEMBER , pp. 2143-2184
  • 14
    • 58149417364 scopus 로고
    • On the psychology of prediction
    • Kahneman, Daniel, and Amos Tversky. 1973. On the psychology of prediction. Psychological Review 80:237-51.
    • (1973) Psychological Review , vol.80 , pp. 237-251
    • Kahneman, D.1    Tversky, A.2
  • 15
    • 46149129689 scopus 로고
    • Predicting returns in the stock and bond markets
    • Keim, Donald B., and Robert F. Stambaugh. 1986. Predicting returns in the stock and bond markets. Journal of Financial Economics 17 (December): 357-90.
    • (1986) Journal of Financial Economics , vol.17 , Issue.DECEMBER , pp. 357-390
    • Keim, D.B.1    Stambaugh, R.F.2
  • 16
    • 0031138827 scopus 로고    scopus 로고
    • Book-to-market, dividend yield, and expected market returns: A time-series analysis
    • Kothari, S. P., and Jay Shanken. 1997. Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics 44 (May): 169-203.
    • (1997) Journal of Financial Economics , vol.44 , Issue.MAY , pp. 169-203
    • Kothari, S.P.1    Shanken, J.2
  • 17
    • 84993869066 scopus 로고
    • Contrarian investment, extrapolation, and risk
    • Lakonishok, Josef, Andrei Shleifer, and Robert Vishny. 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49 (December): 1541-78.
    • (1994) Journal of Finance , vol.49 , Issue.DECEMBER , pp. 1541-1578
    • Lakonishok, J.1    Shleifer, A.2    Vishny, R.3
  • 18
    • 0012462939 scopus 로고    scopus 로고
    • Consumption, aggregate wealth, and expected stock returns
    • Lettau, Martin, and S. Ludvigson. 2001. Consumption, aggregate wealth, and expected stock returns. Journal of Finance 56 (June): 815-49.
    • (2001) Journal of Finance , vol.56 , Issue.JUNE , pp. 815-849
    • Lettau, M.1    Ludvigson, S.2
  • 20
    • 84993914996 scopus 로고
    • Predictable stock returns: The role of small sample bias
    • Nelson, Charles R., and M. J. Kim. 1993. Predictable stock returns: The role of small sample bias. Journal of Finance 48 (June): 641-61.
    • (1993) Journal of Finance , vol.48 , Issue.JUNE , pp. 641-661
    • Nelson, C.R.1    Kim, M.J.2
  • 21
    • 0002215433 scopus 로고    scopus 로고
    • Book-to-market ratios as predictors of market returns
    • Pontiff, J., and Lawrence D. Schall. 1998. Book-to-market ratios as predictors of market returns. Journal of Financial Economics 49 (August): 141-60.
    • (1998) Journal of Financial Economics , vol.49 , Issue.AUGUST , pp. 141-160
    • Pontiff, J.1    Schall, L.D.2
  • 22
    • 0002158052 scopus 로고
    • Mean reversion in stock prices: Evidence and implications
    • Poterba, James M., and Lawrence H. Summers. 1988. Mean reversion in stock prices: Evidence and implications. Journal of Financial Economics 22 (October): 27-59.
    • (1988) Journal of Financial Economics , vol.22 , Issue.OCTOBER , pp. 27-59
    • Poterba, J.M.1    Summers, L.H.2
  • 23
    • 0000893807 scopus 로고
    • Do stock prices move too much to be justified by subsequent changes in dividends?
    • Shiller, Robert. 1981. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71 (June): 421-36.
    • (1981) American Economic Review , vol.71 , Issue.JUNE , pp. 421-436
    • Shiller, R.1
  • 24
    • 0002307601 scopus 로고    scopus 로고
    • The limits to arbitrage
    • Shleifer, Andrei, and Robert Vishny. 1997. The limits to arbitrage. Journal of Finance 52 (March): 35-55.
    • (1997) Journal of Finance , vol.52 , Issue.MARCH , pp. 35-55
    • Shleifer, A.1    Vishny, R.2
  • 25
    • 21144476655 scopus 로고
    • Equity risk premia, corporate profit forecasts, and investor sentiment around the stock market crash of October 1987
    • Siegel, Jeremy J. 1992. Equity risk premia, corporate profit forecasts, and investor sentiment around the stock market crash of October 1987. Journal of Business 65:557-70.
    • (1992) Journal of Business , vol.65 , pp. 557-570
    • Siegel, J.J.1
  • 26
    • 0001969856 scopus 로고
    • How useful is the sentiment index
    • Solt, M. E., and Meir Statman. 1988. How useful is the sentiment index. Financial Analysts Journal 44 (September): 45-55.
    • (1988) Financial Analysts Journal , vol.44 , Issue.SEPTEMBER , pp. 45-55
    • Solt, M.E.1    Statman, M.2
  • 27
    • 0003616269 scopus 로고
    • Bias in regressions with lagged stochastic regressors
    • University of Chicago, Graduate School of Business
    • Stambaugh, Robert. 1986. Bias in regressions with lagged stochastic regressors. CRSP Working Paper 156, University of Chicago, Graduate School of Business.
    • (1986) CRSP Working Paper , vol.156
    • Stambaugh, R.1
  • 29
    • 84924508526 scopus 로고
    • Does the stock market rationally reflect fundamental values?
    • Summers, Lawrence H. 1986. Does the stock market rationally reflect fundamental values? Journal of Finance 41 (July): 591-601.
    • (1986) Journal of Finance , vol.41 , Issue.JULY , pp. 591-601
    • Summers, L.H.1
  • 30
    • 0000630111 scopus 로고
    • Gambling with the house money and trying to break even: The prior outcomes on risky choice
    • Thaler, Richard, and E. Johnson. 1990. Gambling with the house money and trying to break even: The prior outcomes on risky choice. Management Science 36:643-60.
    • (1990) Management Science , vol.36 , pp. 643-660
    • Thaler, R.1    Johnson, E.2
  • 31
    • 0016264378 scopus 로고
    • Judgement under uncertainty: Heuristics and biases
    • Tversky, Amos, and Daniel Kahneman. 1974. Judgement under uncertainty: Heuristics and biases. Science 185:1124-31.
    • (1974) Science , vol.185 , pp. 1124-1131
    • Tversky, A.1    Kahneman, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.