-
1
-
-
0012687458
-
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
-
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
-
-
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
-
-
Barberis, N., Thaler, R., 2002. A survey of behavioral finance. NBER Working Paper No. 9222.
-
-
-
-
6
-
-
85071205148
-
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
-
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
-
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
-
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
-
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
-
-
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.
-
-
-
-
14
-
-
84890656542
-
-
Princeton University Press, Princeton, NJ
-
Campbell J.Y., Lo A.W., and MacKinlay C. The Econometrics of Financial Markets (1997), Princeton University Press, Princeton, NJ
-
(1997)
The Econometrics of Financial Markets
-
-
Campbell, J.Y.1
Lo, A.W.2
MacKinlay, C.3
-
15
-
-
31344432962
-
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
-
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
-
-
Coakley, J., Fuertes, A.-M., in press. Tests for sign and amplitude asymmetries using threshold autoregressions. Journal of Economic Dynamics and Control.
-
-
-
-
18
-
-
0038174312
-
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
-
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
-
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
-
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
-
24
-
-
0035622759
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
-
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
-
-
Manzan, S., 2005. Nonlinear mean reversion in stock prices. Mimeo, University of Leicester.
-
-
-
-
39
-
-
3042688736
-
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
-
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
-
42
-
-
84993877356
-
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
-
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
-
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
-
-
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
-
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
-
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
|