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A multi-country analysis of the temporary and permanent components of stock prices
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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Testing the random walk hypothesis
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Multivariate estimates of the permanent components of GNP and stock prices
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Trends and random walks in macroeconomic time series
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A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’
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Dividend yields and expected stock returns
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Mean reversion in stock prices
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Drawing inferences from statistics based on multiyear asset returns
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Business conditions and expected returns on stocks and bonds
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The size and power of the variance ratio test in finite samples
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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Temporary Components of Stock Prices: A Skeptic's View
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Assessing the predictability of UK stock market returns using statistics based on multiperiod returns
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Is there long-term memory in UK stock returns?
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Expected returns and economic factors: a GARCH approach
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Permanent and Temporary Components of Stock Prices
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Noise Trader Risk in Financial Markets
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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
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Stock Prices, News, and Business Conditions
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Stock prices, news, and business conditions
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Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison
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SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES
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COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS
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U.K. STOCK RETURNS: PREDICTABILITY AND BUSINESS CONDITIONS
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ESTIMATING THE PERMANENT COMPONENT OF UK STOCK PRICES USING MULTIVARIATE EVIDENCE ON BOTH PRICES AND DIVIDENDS
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NEW EVIDENCE ON PREDICTABILITY IN WORLD EQUITY MARKETS
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Does the Stock Market Rationally Reflect Fundamental Values?
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Economic Significance of Predictable Variations in Stock Index Returns
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Predicting Stock Returns in an Efficient Market
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Evidence of Predictable Behavior of Security Returns
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Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
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Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.
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Predictability of Stock Returns: Robustness and Economic Significance
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The Limits of Arbitrage
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International Evidence on the Predictability of Stock Returns
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Determining the Order of Differencing in Autoregressive Processes
inferredcites →https://doi.org/10.1257/jep.4.2.19openalex-snapshot
The Noise Trader Approach to Finance
inferredcites →https://doi.org/10.2307/1268718openalex-snapshot
Introduction to Statistical Time Series
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Determining the Order of Differencing in Autoregressive Processes
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Some A Posteriori Probabilities in Stock Market Action
inferredcites →https://doi.org/10.2307/1912517openalex-snapshot
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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Co-Integration and Error Correction: Representation, Estimation, and Testing
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Macro-Economic Shocks, the ERM, and Tri-Polarity
inferredcites →https://doi.org/10.2307/2118434openalex-snapshot
Permanent and Transitory Components of GNP and Stock Prices
inferredcites →https://doi.org/10.2307/2234977openalex-snapshot
Macroeconomic Adjustment Under Bretton Woods and the Post-Breton-Woods Float: An Impulse-Response Analysis
inferredcites →https://doi.org/10.2307/2286348openalex-snapshot
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
inferredcites →https://doi.org/10.2307/2298006openalex-snapshot
Stock Market Forecastability and Volatility: A Statistical Appraisal
inferredcites →https://doi.org/10.2307/2298009openalex-snapshot
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
inferredcites →https://doi.org/10.2307/2331250openalex-snapshot
The Response of Stock Prices to Permanent and Temporary Shocks to Dividends
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Introduction to Statistical Time Series.
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Testing the Random Walk Hypothesis: Power versus Frequency of Observation
inferredcites →https://doi.org/10.3386/t0066openalex-snapshot
The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
inferredcites →https://doi.org/10.3386/w0945openalex-snapshot
Bubbles, Rational Expectations and Financial Markets
inferredcites →https://doi.org/10.3386/w2343openalex-snapshot
Mean Reversion in Stock Prices: Evidence and Implications
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.1007/s43069-025-00482-5openalex-snapshot
Analyzing Volatility Patterns of Bitcoin Using the GARCH Family Models
inferred← citeshttps://doi.org/10.1016/j.econmod.2013.08.002openalex-snapshot
Common trends and common cycles in stock markets
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Macroeconomic shocks and the co-movement of stock returns in Latin America
inferred← citeshttps://doi.org/10.1016/j.qref.2004.09.002openalex-snapshot
US share prices and real supply and demand shocks
inferred← citeshttps://doi.org/10.1080/0960310042000243547openalex-snapshot
Downside risk for European equity markets
inferred← citeshttps://doi.org/10.1080/09603100500397203openalex-snapshot
Short and long term components of volatility in Hong Kong stock returns
inferred← citeshttps://doi.org/10.1080/13518471003638682openalex-snapshot
UK stock price effects of permanent and transitory shocks
inferred← citeshttps://doi.org/10.1108/01140580510818558openalex-snapshot
A Variance‐Ratio Test of the Random Walk Hypothesis for the New Zealand Share Market: 1980‐2001
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STOCK PRICE EFFECTS OF PERMANENT AND TRANSITORY SHOCKS
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How Have the Emerging Stock Exchanges in Africa Responded to Market Reforms?
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