메뉴 건너뛰기




Volumn 30, Issue 8, 2006, Pages 2325-2346

Valuation ratios and price deviations from fundamentals

Author keywords

Behavioral finance; Fundamentals; Investor sentiment; Threshold autoregression

Indexed keywords


EID: 33745987619     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.08.004     Document Type: Article
Times cited : (45)

References (50)
  • 1
    • 0012687458 scopus 로고    scopus 로고
    • Intrinsic bubbles: The case of stock prices. Comment
    • Ackert L.F., and Hunter W.C. Intrinsic bubbles: The case of stock prices. Comment. American Economic Review 89 (1999) 1372-1376
    • (1999) American Economic Review , vol.89 , pp. 1372-1376
    • Ackert, L.F.1    Hunter, W.C.2
  • 2
    • 0037375008 scopus 로고    scopus 로고
    • Do US stock prices deviate from their fundamental values? Some new evidence
    • Anderson D.C., Darrat A.F., and Zhong M. Do US stock prices deviate from their fundamental values? Some new evidence. Journal of Banking and Finance 27 (2003) 673-697
    • (2003) Journal of Banking and Finance , vol.27 , pp. 673-697
    • Anderson, D.C.1    Darrat, A.F.2    Zhong, M.3
  • 3
    • 33746025165 scopus 로고    scopus 로고
    • Balke, N.S., Wohar, M.E., 2001. Why are stock prices so high? Dividend growth or discount factor? Federal Reserve Bank of Dallas Working Paper 00-01.
  • 4
    • 33745980675 scopus 로고    scopus 로고
    • Barberis, N., Thaler, R., 2002. A survey of behavioral finance. NBER Working Paper No. 9222.
  • 6
    • 85071205148 scopus 로고    scopus 로고
    • Recent developments in bootstrapping time series
    • Berkowitz J., and Kilian L. Recent developments in bootstrapping time series. Econometric Reviews 19 (2000) 1-48
    • (2000) Econometric Reviews , vol.19 , pp. 1-48
    • Berkowitz, J.1    Kilian, L.2
  • 8
    • 33645141372 scopus 로고    scopus 로고
    • Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?
    • Brooks C., and Garrett I. Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?. Applied Financial Economics 12 (2002) 25-31
    • (2002) Applied Financial Economics , vol.12 , pp. 25-31
    • Brooks, C.1    Garrett, I.2
  • 9
    • 28144443745 scopus 로고    scopus 로고
    • A three-regime model of speculative behaviour: Modelling the evolution of the S&P 500 Composite
    • Brooks C., and Katsaris A. A three-regime model of speculative behaviour: Modelling the evolution of the S&P 500 Composite. Economic Journal 115 (2005) 767-797
    • (2005) Economic Journal , vol.115 , pp. 767-797
    • Brooks, C.1    Katsaris, A.2
  • 10
    • 84977717068 scopus 로고
    • Stock prices, earnings and expected dividends
    • Campbell J.Y., and Shiller R.J. Stock prices, earnings and expected dividends. Journal of Finance 43 (1988) 661-676
    • (1988) Journal of Finance , vol.43 , pp. 661-676
    • Campbell, J.Y.1    Shiller, R.J.2
  • 11
    • 0000007521 scopus 로고
    • The dividend-price ratio and expectations of future dividends and discount factors
    • Campbell J.Y., and Shiller R.J. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1 (1988) 195-228
    • (1988) Review of Financial Studies , vol.1 , pp. 195-228
    • Campbell, J.Y.1    Shiller, R.J.2
  • 13
    • 33745972813 scopus 로고    scopus 로고
    • Campbell, J.Y., Shiller, R J., 2001. Valuation ratios and the long-run stock market outlook: An update. Cowles Foundation Discussion Paper No. 1295, Yale University.
  • 15
    • 31344432962 scopus 로고    scopus 로고
    • Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests
    • Carlson J.B., Pelz E.A., and Wohar M.E. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests. Journal of Portfolio Management Summer (2002) 23-35
    • (2002) Journal of Portfolio Management , Issue.Summer , pp. 23-35
    • Carlson, J.B.1    Pelz, E.A.2    Wohar, M.E.3
  • 16
    • 0001138071 scopus 로고    scopus 로고
    • Limiting properties of the least squares estimator of a continuous threshold autoregressive model
    • Chan K.-S., and Tsay R.S. Limiting properties of the least squares estimator of a continuous threshold autoregressive model. Biometrika 85 (1998) 413-426
    • (1998) Biometrika , vol.85 , pp. 413-426
    • Chan, K.-S.1    Tsay, R.S.2
  • 17
    • 33746027208 scopus 로고    scopus 로고
    • Coakley, J., Fuertes, A.-M., in press. Tests for sign and amplitude asymmetries using threshold autoregressions. Journal of Economic Dynamics and Control.
  • 18
    • 0038174312 scopus 로고    scopus 로고
    • Evaluating the persistence and structuralist theoris of unemployment from a nonlinear perspective
    • Coakley J., Fuertes A.-M., and Zoega G. Evaluating the persistence and structuralist theoris of unemployment from a nonlinear perspective. Studies in Nonlinear Dynamics and Econometrics 5 (2001) 179-202
    • (2001) Studies in Nonlinear Dynamics and Econometrics , vol.5 , pp. 179-202
    • Coakley, J.1    Fuertes, A.-M.2    Zoega, G.3
  • 20
    • 8744258405 scopus 로고    scopus 로고
    • Investor psychology and security market under- and overreactions
    • Daniel K., Hirshleifer D., and Subrahmanyam A. Investor psychology and security market under- and overreactions. Journal of Finance 53 (1998) 1839-1885
    • (1998) Journal of Finance , vol.53 , pp. 1839-1885
    • Daniel, K.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 21
    • 0032345729 scopus 로고    scopus 로고
    • Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates
    • Enders W., and Granger C.W.J. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business and Economic Statistics 16 (1998) 304-311
    • (1998) Journal of Business and Economic Statistics , vol.16 , pp. 304-311
    • Enders, W.1    Granger, C.W.J.2
  • 22
    • 0346207692 scopus 로고    scopus 로고
    • Market efficiency, long-term returns, and behavioral finance
    • Fama E.F. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49 (1998) 283-306
    • (1998) Journal of Financial Economics , vol.49 , pp. 283-306
    • Fama, E.F.1
  • 23
  • 24
    • 0035622759 scopus 로고    scopus 로고
    • Risky arbitrage, limits of arbitrage, and nonlinear adjustment in the dividend-price ratio
    • Gallagher L.A., and Taylor M.P. Risky arbitrage, limits of arbitrage, and nonlinear adjustment in the dividend-price ratio. Economic Inquiry 39 (2001) 524-536
    • (2001) Economic Inquiry , vol.39 , pp. 524-536
    • Gallagher, L.A.1    Taylor, M.P.2
  • 26
    • 13344262667 scopus 로고    scopus 로고
    • Economic implications of bull and bear regimes in UK stock and bond returns
    • Guidolin M., and Timmermann A. Economic implications of bull and bear regimes in UK stock and bond returns. Economic Journal 115 (2005) 111-143
    • (2005) Economic Journal , vol.115 , pp. 111-143
    • Guidolin, M.1    Timmermann, A.2
  • 28
    • 0000398111 scopus 로고    scopus 로고
    • Investor psychology and asset pricing
    • Hirshleifer D. Investor psychology and asset pricing. Journal of Finance 56 (2001) 1533-1598
    • (2001) Journal of Finance , vol.56 , pp. 1533-1598
    • Hirshleifer, D.1
  • 29
    • 0012166025 scopus 로고    scopus 로고
    • A unified theory of underreaction, momentum trading, and overreaction in asset markets
    • Hong H., and Stein J.C. A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance 54 (1999) 2143-2184
    • (1999) Journal of Finance , vol.54 , pp. 2143-2184
    • Hong, H.1    Stein, J.C.2
  • 30
    • 1642375908 scopus 로고    scopus 로고
    • The medium-term aftermarket in high-tech IPOs: Patterns and implications
    • Jaggia S., and Thosar S. The medium-term aftermarket in high-tech IPOs: Patterns and implications. Journal of Banking and Finance 28 (2004) 931-950
    • (2004) Journal of Banking and Finance , vol.28 , pp. 931-950
    • Jaggia, S.1    Thosar, S.2
  • 31
    • 38249001288 scopus 로고
    • Unit root tests with conditional heteroskedasticity
    • Kim K., and Schmidt P. Unit root tests with conditional heteroskedasticity. Journal of Econometrics 59 (1993) 287-300
    • (1993) Journal of Econometrics , vol.59 , pp. 287-300
    • Kim, K.1    Schmidt, P.2
  • 32
    • 0001353625 scopus 로고    scopus 로고
    • Impulse response analysis in nonlinear multivariate models
    • Koop G., Pesaran M.H., and Potter S.M. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74 (1996) 119-147
    • (1996) Journal of Econometrics , vol.74 , pp. 119-147
    • Koop, G.1    Pesaran, M.H.2    Potter, S.M.3
  • 33
    • 0000337210 scopus 로고    scopus 로고
    • Earnings and expected returns
    • Lamont O. Earnings and expected returns. Journal of Finance 53 (1998) 1563-1587
    • (1998) Journal of Finance , vol.53 , pp. 1563-1587
    • Lamont, O.1
  • 34
    • 0032383931 scopus 로고    scopus 로고
    • Permanent, temporary, and non-fundamental components of stock prices
    • Lee B.S. Permanent, temporary, and non-fundamental components of stock prices. Journal of Financial and Quantitative Analysis 33 (1998) 1-32
    • (1998) Journal of Financial and Quantitative Analysis , vol.33 , pp. 1-32
    • Lee, B.S.1
  • 35
    • 0036889464 scopus 로고    scopus 로고
    • Stock market volatility, excess returns, and the role of investor sentiment
    • Lee W.Y., Jiang C.X., and Indro D.C. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking and Finance 26 (2002) 2277-2299
    • (2002) Journal of Banking and Finance , vol.26 , pp. 2277-2299
    • Lee, W.Y.1    Jiang, C.X.2    Indro, D.C.3
  • 36
    • 0242551966 scopus 로고    scopus 로고
    • Time-varying excess returns on UK government bonds: A non-linear approach
    • Lekkos I., and Milas C. Time-varying excess returns on UK government bonds: A non-linear approach. Journal of Banking and Finance 28 (2004) 45-62
    • (2004) Journal of Banking and Finance , vol.28 , pp. 45-62
    • Lekkos, I.1    Milas, C.2
  • 37
    • 33745987792 scopus 로고    scopus 로고
    • Madsen, J.B., Milas, C., 2003. The price-dividend relationship in inflationary and deflationary regimes. Mimeo, Department of Economics and Finance, Brunel University, London.
  • 38
    • 33745989435 scopus 로고    scopus 로고
    • Manzan, S., 2005. Nonlinear mean reversion in stock prices. Mimeo, University of Leicester.
  • 39
    • 3042688736 scopus 로고    scopus 로고
    • Nonlinear predictablility of short-run deviations in UK stock market returns
    • McMillan D.G. Nonlinear predictablility of short-run deviations in UK stock market returns. Economics Letters 84 (2004) 149-154
    • (2004) Economics Letters , vol.84 , pp. 149-154
    • McMillan, D.G.1
  • 40
    • 21844518679 scopus 로고
    • Unit root test in ARMA models with data dependent methods for the selection of the truncation lag
    • Ng S., and Perron P. Unit root test in ARMA models with data dependent methods for the selection of the truncation lag. Journal of the American Statistical Association 90 (1995) 268-281
    • (1995) Journal of the American Statistical Association , vol.90 , pp. 268-281
    • Ng, S.1    Perron, P.2
  • 41
  • 42
    • 84993877356 scopus 로고
    • Predictability of stock returns: Robustness and economic significance
    • Pesaran M.H., and Timmerman A. Predictability of stock returns: Robustness and economic significance. Journal of Finance 50 (1995) 1201-1228
    • (1995) Journal of Finance , vol.50 , pp. 1201-1228
    • Pesaran, M.H.1    Timmerman, A.2
  • 43
    • 3042666555 scopus 로고    scopus 로고
    • On Markov error-correction models, with an application to stock prices and dividends
    • Psaradakis Z., Sola M., and Spagnolo F. On Markov error-correction models, with an application to stock prices and dividends. Journal of Applied Econometrics 19 (2004) 69-88
    • (2004) Journal of Applied Econometrics , vol.19 , pp. 69-88
    • Psaradakis, Z.1    Sola, M.2    Spagnolo, F.3
  • 46
    • 0000893807 scopus 로고
    • Do stock prices move too much to be justified by subsequent changes in dividends?
    • Shiller R.J. Do stock prices move too much to be justified by subsequent changes in dividends?. American Economic Review 71 (1981) 421-436
    • (1981) American Economic Review , vol.71 , pp. 421-436
    • Shiller, R.J.1
  • 47
    • 0004179594 scopus 로고    scopus 로고
    • Princeton University Press, Princeton, NJ
    • Shiller R.J. Irrational Exuberance (2000), Princeton University Press, Princeton, NJ
    • (2000) Irrational Exuberance
    • Shiller, R.J.1
  • 48
    • 84924508526 scopus 로고
    • Does the stock market rationally reflect fundamental values?
    • Summers L.H. Does the stock market rationally reflect fundamental values?. Journal of Finance 41 (1986) 591-602
    • (1986) Journal of Finance , vol.41 , pp. 591-602
    • Summers, L.H.1
  • 50
    • 28444488750 scopus 로고
    • Further evidence on the Great Crash, the oil-price shock and the unit-root hypothesis
    • Zivot E., and Andrews D.W.K. Further evidence on the Great Crash, the oil-price shock and the unit-root hypothesis. Journal of Business and Economic Statistics 10 (1992) 251-270
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 251-270
    • Zivot, E.1    Andrews, D.W.K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.