-
2
-
-
77955645818
-
Stock return predictability: Is it there?
-
Ang, A., and G. Bekaert. 2007. Stock Return Predictability: Is It There? Review of Financial Studies 20:651-707.
-
(2007)
Review of Financial Studies
, vol.20
, pp. 651-707
-
-
Ang, A.1
Bekaert, G.2
-
3
-
-
0142023951
-
The maturity of debt issues and predictable variation in bond returns
-
Baker, M. P., R. Greenwood, and J. Wurgler. 2003. The Maturity of Debt Issues and Predictable Variation in Bond Returns. Journal of Financial Economics 70:261-91.
-
(2003)
Journal of Financial Economics
, vol.70
, pp. 261-291
-
-
Baker, M.P.1
Greenwood, R.2
Wurgler, J.3
-
4
-
-
1642419173
-
Market liquidity as a sentiment indicator
-
Baker, M. P., and J. Stein. 2004. Market Liquidity as a Sentiment Indicator. Journal of Financial Markets 7:1125-65.
-
(2004)
Journal of Financial Markets
, vol.7
, pp. 1125-1165
-
-
Baker, M.P.1
Stein, J.2
-
5
-
-
2942716949
-
A catering theory of dividends
-
Baker, M. P., and J. Wurgler. 2004. A Catering Theory of Dividends. Journal of Finance 59:1125-65.
-
(2004)
Journal of Finance
, vol.59
, pp. 1125-1165
-
-
Baker, M.P.1
Wurgler, J.2
-
6
-
-
49449098854
-
The myth of long-horizon predictability
-
Advance Access published on October 25, 2006
-
Boudoukh, J., M. Richardson, and R. Whitelaw. 2006. The Myth of Long-horizon Predictability. Review of Financial Studies, Advance Access published on October 25, 2006, 10.1093/rfs/hhn1042.
-
(2006)
Review of Financial Studies
-
-
Boudoukh, J.1
Richardson, M.2
Whitelaw, R.3
-
7
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell, J. Y., M. Lettau, B. G. Malkiel, and Y. Xu. 2001. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. Journal of Finance 56:1-43.
-
(2001)
Journal of Finance
, vol.56
, pp. 1-43
-
-
Campbell, J.Y.1
Lettau, M.2
Malkiel, B.G.3
Xu, Y.4
-
9
-
-
84974098166
-
Inference in models with nearly integrated regressors
-
Cavanagh, C. L., G. Elliott, and J. Stock. 1995. Inference in Models with Nearly Integrated Regressors. Econometric Theory 11:1131-47.
-
(1995)
Econometric Theory
, vol.11
, pp. 1131-1147
-
-
Cavanagh, C.L.1
Elliott, G.2
Stock, J.3
-
13
-
-
0004296209
-
-
Upper Saddle River, NJ: Prentice-Hall
-
Greene, W. H. 2002. Econometric Analysis. Upper Saddle River, NJ: Prentice-Hall.
-
(2002)
Econometric Analysis
-
-
Greene, W.H.1
-
14
-
-
44849127960
-
Aggregate idiosyncratic volatility in G7 countries
-
Guo, H., and R. Savickas. 2008. Aggregate Idiosyncratic Volatility in G7 Countries. Review of Financial Studies 21:1259-96.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1259-1296
-
-
Guo, H.1
Savickas, R.2
-
16
-
-
0003410290
-
-
Princeton, NJ: Princeton University Press
-
Hamilton, J. D. 1994. Time Series Analysis. Princeton, NJ: Princeton University Press.
-
(1994)
Time Series Analysis
-
-
Hamilton, J.D.1
-
17
-
-
84890663370
-
-
Princeton, NJ: Princeton University Press
-
Hayashi, F. 2000. Econometrics. Princeton, NJ: Princeton University Press.
-
(2000)
Econometrics
-
-
Hayashi, F.1
-
18
-
-
0040196006
-
The relation between stock market movement and nyse seat price
-
Keim, D. B., and A. Madhavan. 2000. The Relation Between Stock Market Movement and NYSE Seat Price. Journal of Finance 55:2817-40.
-
(2000)
Journal of Finance
, vol.55
, pp. 2817-2840
-
-
Keim, D.B.1
Madhavan, A.2
-
20
-
-
0031138827
-
Book-to-market, dividend yield, and expected market returns: A time-series analysis
-
Kothari, S. P., and J. Shanken. 1997. Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis. Journal of Financial Economics 2:169-203.
-
(1997)
Journal of Financial Economics
, vol.2
, pp. 169-203
-
-
Kothari, S.P.1
Shanken, J.2
-
21
-
-
0012462939
-
Consumption, aggregate wealth, and expected stock returns
-
Lettau, M., and S. Ludvigson. 2001. Consumption, Aggregate Wealth, and Expected Stock Returns. Journal of Finance 3:815-49.
-
(2001)
Journal of Finance
, vol.3
, pp. 815-849
-
-
Lettau, M.1
Ludvigson, S.2
-
22
-
-
7444239079
-
Predicting returns with Financial ratios
-
Lewellen, J. 2004. Predicting Returns with Financial Ratios. Journal of Financial Economics 74:209-35.
-
(2004)
Journal of Financial Economics
, vol.74
, pp. 209-235
-
-
Lewellen, J.1
-
23
-
-
0001203970
-
Approximate bias correction in econometrics
-
MacKinnon, J., and A. Smith Jr. 1998. Approximate Bias Correction in Econometrics. Journal of Econometrics 85:205-30.
-
(1998)
Journal of Econometrics
, vol.85
, pp. 205-230
-
-
MacKinnon, J.1
Smith Jr., A.2
-
24
-
-
84993914996
-
Predictable stock returns: The role of small sample bias
-
Nelson, C. R., and M. J. Kim. 1993. Predictable Stock Returns: The Role of Small Sample Bias. Journal of Finance 48:641-61.
-
(1993)
Journal of Finance
, vol.48
, pp. 641-661
-
-
Nelson, C.R.1
Kim, M.J.2
-
25
-
-
0000875714
-
Bias in the estimation of multiple autoregressions
-
Nicholls, D. F., and A. L. Pope. 1988. Bias in the Estimation of Multiple Autoregressions. Australian Journal of Statistics 30A:296-309.
-
(1988)
Australian Journal of Statistics
, vol.30 A
, pp. 296-309
-
-
Nicholls, D.F.1
Pope, A.L.2
-
26
-
-
0007049546
-
First order regression: Inference, estimation and prediction
-
Orcutt, G. H., and H. S. Winocur Jr. 1969. First Order Regression: Inference, Estimation and Prediction. Econometrica 37:1-14.
-
(1969)
Econometrica
, vol.37
, pp. 1-14
-
-
Orcutt, G.H.1
Winocur Jr., H.S.2
-
29
-
-
0002215433
-
Book-to-market ratios as predictors of market returns
-
Pontiff, J., and L. D. Schall. 1998. Book-to-Market Ratios as Predictors of Market Returns. Journal of Financial Economics 49:141-60.
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 141-160
-
-
Pontiff, J.1
Schall, L.D.2
-
30
-
-
84971946892
-
Asymptotically efficient estimation of cointegration regressions
-
Saikkonen, P. 1991. Asymptotically Efficient Estimation of Cointegration Regressions. Econometric Theory 7:1-21.
-
(1991)
Econometric Theory
, vol.7
, pp. 1-21
-
-
Saikkonen, P.1
|