-
1
-
-
84977717068
-
Stock prices, earnings and expected dividends
-
Campbell, J.Y. and Shiller, R. (1988), “Stock prices, earnings and expected dividends”, Journal of Finance, Vol. 43 No. 3, pp. 661-76.
-
(1988)
Journal of Finance
, vol.43
, Issue.3
, pp. 661-676
-
-
Campbell, J.Y.1
Shiller, R.2
-
2
-
-
0000113741
-
Mean reversion in equilibrium asset prices
-
80:3
-
Cecchetti, S.G., Lam, P.S. and Mark, N.C. (1990), “Mean reversion in equilibrium asset prices”, American Economic Review, 80:3, pp. 398-418
-
(1990)
American Economic Review
, pp. 398-418
-
-
Cecchetti, S.G.1
Lam, P.S.2
Mark, N.C.3
-
3
-
-
0000784078
-
Modelling mean reversion of asset prices towards their fundamental value
-
Chiang, R., Liu, P. and Okunev, J. (1995), “Modelling mean reversion of asset prices towards their fundamental value”, Journal of Banking & Finance, Vol. 19 No. 8, pp. 1327-40.
-
(1995)
Journal of Banking & Finance
, vol.19
, Issue.8
, pp. 1327-1340
-
-
Chiang, R.1
Liu, P.2
Okunev, J.3
-
4
-
-
84900013243
-
Does the stock market overreact?’
-
De Bondt, W.F.M. and Thaler, R.H. (1985), “Does the stock market overreact?’’, Journal of Finance, Vol. 40 No. 3, pp. 793-805.
-
(1985)
Journal of Finance
, vol.40
, Issue.3
, pp. 793-805
-
-
De Bondt, W.F.M.1
Thaler, R.H.2
-
5
-
-
84977703147
-
Further evidence on investor overreaction and stock market seasonality
-
De Bondt, W.F.M. and Thaler, R.H. (1987), “Further evidence on investor overreaction and stock market seasonality”, Journal of Finance, Vol. 42, pp. 557-81.
-
(1987)
Journal of Finance
, vol.42
, pp. 557-581
-
-
De Bondt, W.F.M.1
Thaler, R.H.2
-
6
-
-
84977707061
-
Stock returns, expected returns and real activity
-
Fama, E. (1990), “Stock returns, expected returns and real activity”, Journal of Finance, Vol. XLV No. 4, pp. 1089-1108.
-
(1990)
Journal of Finance
, vol.45
, Issue.4
, pp. 1089-1108
-
-
Fama, E.1
-
7
-
-
84936823605
-
Permanent and temporary components of stock prices
-
(a)
-
Fama, E. and French, K.R. (1988a, “Permanent and temporary components of stock prices”, Journal of Political Economy, Vol. 96 No. 2, pp. 246-73.
-
(1988)
Journal of Political Economy
, vol.96
, Issue.2
, pp. 246-273
-
-
Fama, E.1
French, K.R.2
-
8
-
-
0002056097
-
Dividend yields and expected stock returns
-
(b)
-
Fama, E. and French, K.R. (1988b), “Dividend yields and expected stock returns”, Journal of Financial Economics, Vol. 22, pp. 3-25.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 3-25
-
-
Fama, E.1
French, K.R.2
-
9
-
-
84977728314
-
Seasonality in stock price mean reversion: evidence from the US and the UK
-
Jegadeesh, N. (1991), “Seasonality in stock price mean reversion: evidence from the US and the UK”, Journal of Finance, Vol. 46, pp. 1427-44.
-
(1991)
Journal of Finance
, vol.46
, pp. 1427-1444
-
-
Jegadeesh, N.1
-
10
-
-
0345510809
-
Statistical analysis of cointegrating vectors
-
Johansen, S. (1988), “Statistical analysis of cointegrating vectors”, Journal of Economic Dynamics and Control, Vol. 12 No. 2-3, pp. 231-54.
-
(1988)
Journal of Economic Dynamics and Control
, vol.12
, Issue.2-3
, pp. 231-254
-
-
Johansen, S.1
-
11
-
-
0000158117
-
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, Vol. 59 No. 6, pp. 1551-80.
-
(1991)
Econometrica
, vol.59
, Issue.6
, pp. 1551-1580
-
-
Johansen, S.1
-
12
-
-
84959822288
-
Mean reversion in stock prices? A reappraisal of the empirical evidence
-
Kim, M.J., Nelson, C.R. and Startz, R. (1991), “Mean reversion in stock prices? A reappraisal of the empirical evidence”, The Review of Economic Studies, Vol. 58 No. 3, pp. 515-28.
-
(1991)
The Review of Economic Studies
, vol.58
, Issue.3
, pp. 515-528
-
-
Kim, M.J.1
Nelson, C.R.2
Startz, R.3
-
13
-
-
0002130916
-
Common stochastic trends and convergence of European Union stock markets
-
King, M. and Serletis, A. (1997), “Common stochastic trends and convergence of European Union stock markets”, The Manchester School, Vol. LXV No. 1, pp. 44-57.
-
(1997)
The Manchester School
, vol.65
, Issue.1
, pp. 44-57
-
-
King, M.1
Serletis, A.2
-
14
-
-
0002484986
-
Stock prices do not follow random walks: evidence from a simple specification test
-
Lo, A.W. and MacKinlay A.C. (1988), “Stock prices do not follow random walks: evidence from a simple specification test”, Review of Financial Studies, 1, pp. 41-66.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 41-66
-
-
Lo, A.W.1
MacKinlay, A.C.2
-
15
-
-
0002378331
-
Critical values for cointegration tests
-
Engle, R.F. and Granger, C.W.J. (Eds) Oxford University Press, Oxford
-
MacKinnon, J.G. (1991), “Critical values for cointegration tests”, in Engle, R.F. and Granger, C.W.J. (Eds), Long-Run Economic Relationships: Readings in Cointegration, Oxford University Press, Oxford.
-
(1991)
Long-Run Economic Relationships: Readings in Cointegration
-
-
MacKinnon, J.G.1
-
16
-
-
0001798077
-
Long-horizon mean-reverting stock prices revisited
-
McQueen, G.R. (1992), “Long-horizon mean-reverting stock prices revisited”, Journal of Financial & Quantitative Analysis, Vol. 27 No. 1, pp. 1-18.
-
(1992)
Journal of Financial & Quantitative Analysis
, vol.27
, Issue.1
, pp. 1-18
-
-
McQueen, G.R.1
-
17
-
-
0031286983
-
Using nonlinear tests to examine integration between real estate and stock markets
-
Okunev, J. and Wilson, P.J. (1997), “Using nonlinear tests to examine integration between real estate and stock markets”, Real Estate Economics, Vol. 25 No. 3 pp. 487-503.
-
(1997)
Real Estate Economics
, vol.25
, Issue.3
, pp. 487-503
-
-
Okunev, J.1
Wilson, P.J.2
-
18
-
-
0002158052
-
Mean reversion in stock prices: evidence and implications
-
Poterba, J.M. and Summers, L.H. (1988), “Mean reversion in stock prices: evidence and implications”, Journal of Financial Economics, Vol. 22 No. 1, pp. 27-59.
-
(1988)
Journal of Financial Economics
, vol.22
, Issue.1
, pp. 27-59
-
-
Poterba, J.M.1
Summers, L.H.2
-
19
-
-
84858830005
-
Is property stock market efficient in the weak form? Singapore's evidence
-
Sing, T.F. (2001), “Is property stock market efficient in the weak form? Singapore's evidence”, Journal of Financial Management of Property and Construction, Vol. 6 No. 1, pp. 3-18.
-
(2001)
Journal of Financial Management of Property and Construction
, vol.6
, Issue.1
, pp. 3-18
-
-
Sing, T.F.1
|