1. CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION. (2019). Lynch, Christopher ; Mestel, Benjamin.
   In: International Journal of Theoretical and Applied Finance (IJTAF).
   RePEc:wsi:ijtafx:v:22:y:2019:i:07:n:s021902491950033x.

   Full description at Econpapers || Download paper

2. THE IMPACT OF INVESTMENT HORIZON ON THE RETURN AND RISK OF INVESTMENTS IN SECURITIES IN LITHUANIA. (2016). Pipiras, Marekas ; Urbiena, Laimuta ; Bugajevas, Andrius .
   In: Organizations and Markets in Emerging Economies.
   RePEc:vul:omefvu:v:7:y:2016:i:2:id:210.

   Full description at Econpapers || Download paper

3. Long-term portfolio investments: New insight into return and risk. (2015). Radygin, Alexander ; Chernova, Maria ; Abramov, Alexander.
   In: Russian Journal of Economics.
   RePEc:eee:rujoec:v:1:y:2015:i:3:p:273-293.

   Full description at Econpapers || Download paper

4. Inside the black box: permanent vs transitory components and economic fundamentals. (2004). wright, stephen ; Robertson, Donald ; Garratt, Anthony.
   In: Money Macro and Finance (MMF) Research Group Conference 2003.
   RePEc:mmf:mmfc03:35.

   Full description at Econpapers || Download paper

5. Valuation, investment and the pure profit share. (2004). Lafourcade, Pierre .
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2004-08.

   Full description at Econpapers || Download paper

1. [1] Bekaert, G & Hodrick, R (1992) Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets Journal of Finance 47(2),pages 467-509.

2. [10] Chiang, R, Liu, P & Okunev, J (1995), Modelling Mean Reversion of Asset Prices towards Their Fundamental Value, Journal of Banking and Finance 19(8), pages 1327-40.

3. [11] Chopra, N, Lakonishok, J & Ritter, J (1992), Measuring Abnormal Performance: Do Stocks Overreact?, Journal of Financial Economics 31(2),pages 235-68. 37

4. [12] DeBondt, W, Thaler, R (1985) Does the Stock Market Overreact?, Journal of Finance; 40(3), July 1985, pages 793-805.

5. [13] De Long, J B, Shleifer, A, Summers, L H & Waldmann, R J (1990) Noise Trader Risk in Financial Markets, Journal of Political Economy, Vol 98, no 4, pp 703-738

6. [14] Fama, E & French, K (1992) The Cross-Section of Expected Stock Returns Journal of Finance; 47(2), June 1992, pages 427-65.

7. [15] French, K R and Poterba, J M (1991) Were Japanese Stock Prices Too High?, Journal of Financial Economics, 29 (1991) pp. 337 363

8. [16] Grossman, 5, Stiglitz, J (1980), On the Impossibility of Informationally Efficient Markets, American Economic Review, 70(3), June 1980, pages 393408.

9. [17] Hayashi, F(1982), Tobins Marginal q and Average q: A Neoclassical Interpretation , Econometrica, 50(1), Jan. 1982, pages 213-24.

10. [18] Hylleberg, S & Mizon, G (1989) A Note on the Distribution of the Least Squares Estimator of a Random Walk with Drift, Economics Letters; 29(3), pages 225-30.

11. [19] Ibbotson Associates (1994), Stocks, Bonds, Bills and Inflation, Chicago, Ibbotson Associates
    Paper not yet in RePEc: Add citation now
    

12. [2] Blanchard, 0 J, Rhee C and Summers L (1993), The Stock Market, Profit and Investment Quarterly Journal of Economics, February 1993

13. [20] Jegadeesh, N (1990), Evidence of Predictable Behavior of Security Returns, Journal of Finance 45(3), pages 881-98.

14. [21] Jensen M C (1978) Some Anomalous Evidence Regarding Market Efficiency , Journal of Financial Economics, Vol 6, No 2, pp 95 - 101

15. [22] Kopcke R W (1997) Are Stocks Overvalued? New England Economic Review, Federal Reserve Bank of Boston, Sept-Oct 1997

16. [23] Lutkepohl, H, (1991) Introduction to Multiple time series analysis,SpringerVerlag 1991
    Paper not yet in RePEc: Add citation now
    

17. [24] Pesaran, M H, Shin Y & Smith R J (1996), Structural Analysis of Vector Error Correction Models with Exogenous 1(1) Variables, University of Cambridge, Department of Applied Economics, Working Paper 38

18. [26] Poterba, J M and Summers, L H (1988), Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics vol 6 (4) pp 333 64

19. [27] Reimers,H-E (1995) Interval Forecasting in Cointegrated Systems Statistical Papers 36,349-369
    Paper not yet in RePEc: Add citation now
    

20. [28] Shiller, R (1981) Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends? American Economic Review, LXXI, pp 421-3698

21. [3] Breen, W, Glosten, L & Jagannathan, R (1989) Economic Significance of Predictable Variations in Stock Index Returns Journal of Finance; 44(5), pages 1177-89.

22. [30] Kon-Ya, Tsutsui and Shiller (1998) Results of Surveys about Stock Market Speculation, May 1998, http://www.econ.yale.edu/ shiller/investor.html
    Paper not yet in RePEc: Add citation now
    
23. [31] Siegel, J (1994) Stocks for the Long Run, Burr Ridge, Illinois, Irwin Professional.
    Paper not yet in RePEc: Add citation now
    

24. [32] Tobin, J (1969), A General Equilibrium Approach to Monetary Theory Journal of Money, Credit, and Banking, 1(1), Feb. 1969, pages 15-29.

25. [33] West, K (1988) Asymptotic Normality, When Regressors Have a Unit Root, Econometrica; 56(6), November 1988, pages 1397-1417

26. [4] Bureau of Economic Analysis (1997) Revisions to Tangible Assets, 19261997 , Survey of Current Business, May 1997, Department of Commerce, Washington DC
    Paper not yet in RePEc: Add citation now
    

27. [7] Campbell, J & Ammer, J (1993) What Moves the Stock and Bond Markets? A Variance Decomposition for Long Term Asset Returns, Journal of Finance 48(1), pages 3-37.

28. [8] Campbell J Y and Shiller R J (1998) Valuation Ratios and the Long-Run Stock Market Outlook, Journal of Portfolio Management, Fall 1998
    Paper not yet in RePEc: Add citation now
    
29. [9] Campbell, J, Lo, A J and MacKinlay, A C (1997), The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ
    Paper not yet in RePEc: Add citation now
    

1. Bond risk premia, macroeconomic fundamentals and the exchange rate. (2008). Taboga, Marco ; Pericoli, Marcello.
   In: MPRA Paper.
   RePEc:pra:mprapa:9523.

   Full description at Econpapers || Download paper

2. The exact distribution of the Hansen-Jagannathan bound. (2008). Robotti, Cesare ; Kan, Raymond.
   In: FRB Atlanta Working Paper.
   RePEc:fip:fedawp:2008-09.

   Full description at Econpapers || Download paper

3. The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns. (2007). Guidolin, Massimo ; Na, Carrie Fangzhou.
   In: Working Papers.
   RePEc:fip:fedlwp:2006-059.

   Full description at Econpapers || Download paper

4. Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US. (2006). Lewis, Karen.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12697.

   Full description at Econpapers || Download paper

5. The monetary origins of asymmetric information in international equity markets. (2006). Vega, Clara ; Bauer, Gregory.
   In: International Finance Discussion Papers.
   RePEc:fip:fedgif:872.

   Full description at Econpapers || Download paper

6. Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US. (2006). Lewis, Karen.
   In: Working Papers.
   RePEc:ecl:upafin:06-6.

   Full description at Econpapers || Download paper

7. Integration at a cost: Evidence from volatility impulse response functions. (2005). Pantelidis, Theologos ; Panopoulou, Ekaterini.
   In: Economics Department Working Paper Series.
   RePEc:may:mayecw:n1540305.

   Full description at Econpapers || Download paper

8. Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. (2005). Wu, Shu.
   In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
   RePEc:kan:wpaper:200519.

   Full description at Econpapers || Download paper

9. Financial integration and the wealth effect of exchange rate fluctuations. (2005). Tille, Cédric.
   In: Staff Reports.
   RePEc:fip:fednsr:226.

   Full description at Econpapers || Download paper

10. Are the dynamic linkages between the macroeconomy and asset prices time-varying?. (2005). Guidolin, Massimo ; Ono, Sadayuki.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-056.

    Full description at Econpapers || Download paper

11. Investor Overconfidence and the Forward Discount Puzzle. (2005). Hirshleifer, David ; han, bing ; Wang, Tracy Yue.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2005-21.

    Full description at Econpapers || Download paper

12. Efficient estimation and testing of oil futures contracts in a mutual offset system. (2004). Sequeira, J. M..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:13:p:953-962.

    Full description at Econpapers || Download paper

13. Dynamics of Intra-EMS Interest Rate Linkages. (2004). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:492.

    Full description at Econpapers || Download paper

14. The Monetary Origins of Asymmetric Information in International Equity Markets. (2004). Vega, Clara ; Bauer, Gregory.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-47.

    Full description at Econpapers || Download paper

15. More Evidence on the Dollar Risk Premium in the Foreign Exchange Market. (2003). Wolff, Christian ; Bams, Dennis ; Walkowiak, Kim .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3726.

    Full description at Econpapers || Download paper

16. Dynamics of Intra-EMS Interest Rate Linkages. (2002). Barkoulas, John ; Baum, Christopher.
    In: Computing in Economics and Finance 2002.
    RePEc:sce:scecf2:13.

    Full description at Econpapers || Download paper

17. Are Financial Assets Priced Locally or Globally?. (2002). Stulz, René ; Karolyi, G..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8994.

    Full description at Econpapers || Download paper

18. Stock Return Predictability: Is it There?. (2001). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8207.

    Full description at Econpapers || Download paper

19. Incomplete markets, borrowing constraints, and the foreign exchange risk premium. (2000). Leduc, Sylvain.
    In: Working Papers.
    RePEc:fip:fedpwp:00-3.

    Full description at Econpapers || Download paper

20. Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns. (2000). Vassalou, Maria .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2448.

    Full description at Econpapers || Download paper

21. The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test. (2000). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher ; Delcoure, Natalya.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:464.

    Full description at Econpapers || Download paper

22. The Potential Approach to Bond and Currency Pricing. (1999). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:9903004.

    Full description at Econpapers || Download paper

23. The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate. (1999). Smith, Constance ; Landon, Stuart.
    In: MPRA Paper.
    RePEc:pra:mprapa:9775.

    Full description at Econpapers || Download paper

24. New Facts in Finance. (1999). Cochrane, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7169.

    Full description at Econpapers || Download paper

25. An International Dynamic Asset Pricing Model. (1999). Ng, David ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7157.

    Full description at Econpapers || Download paper

26. Predictability in international asset returns: a reexamination. (1999). Neely, Christopher ; Weller, Paul.
    In: Working Papers.
    RePEc:fip:fedlwp:1997-010.

    Full description at Econpapers || Download paper

27. New facts in finance. (1999). Cochrane, John.
    In: Economic Perspectives.
    RePEc:fip:fedhep:y:1999:i:qiii:p:36-58:n:v.23no.3.

    Full description at Econpapers || Download paper

28. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise. (1998). Wu, Yangru ; Mark, Nelson.
    In: Working Papers.
    RePEc:osu:osuewp:98-05.

    Full description at Econpapers || Download paper

29. Regime Switches in Interest Rates. (1998). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6508.

    Full description at Econpapers || Download paper

30. International Home Bias in International Finance and Business Cycles. (1998). Lewis, Karen.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6351.

    Full description at Econpapers || Download paper

31. The Good News and the Bad News about Long-run Stock Market Returns. (1998). wright, stephen ; Robertson, Donald.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:9822.

    Full description at Econpapers || Download paper

32. Risk and International Parity Conditions: A Synthesis from Consumption Based Models. (1997). Chiang, Thomas ; JOSÉ A. TRINIDAD, .
    In: International Economic Journal.
    RePEc:taf:intecj:v:11:y:1997:i:2:p:73-101.

    Full description at Econpapers || Download paper

33. Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements. (1996). Stulz, René ; Karoly, Andrew G..
    In: Research in Financial Economics.
    RePEc:wop:ohsrfe:9603.

    Full description at Econpapers || Download paper

34. Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity. (1996). .
    In: Working Papers.
    RePEc:osu:osuewp:014.

    Full description at Econpapers || Download paper

35. Technical Trading Rule Profitability and Foreign Exchange Intervention. (1996). Lebaron, Blake.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5505.

    Full description at Econpapers || Download paper

36. Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS. (1995). Stulz, René ; Karolyi, G..
    In: Research in Financial Economics.
    RePEc:wop:ohsrfe:9501.

    Full description at Econpapers || Download paper

37. Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market. (1995). Ito, Takatoshi ; Elliott, Graham.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5376.

    Full description at Econpapers || Download paper

38. Technical Trading Rule Profitability and Foreign Exchange Intervention. (1994). Lebaron, Blake.
    In: International Finance.
    RePEc:wpa:wuwpif:9411002.

    Full description at Econpapers || Download paper

39. Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors. (1994). Marston, Richard C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4923.

    Full description at Econpapers || Download paper

40. Time-Varying World Market Integration. (1994). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4843.

    Full description at Econpapers || Download paper

41. Implementing Option Pricing Models When Asset Returns Are Predictable. (1994). Lo, Andrew ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4720.

    Full description at Econpapers || Download paper

42. Reverse Engineering the Yield Curve. (1994). Zin, Stanley.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4676.

    Full description at Econpapers || Download paper

43. What Determines Expected International Asset Returns?. (1994). Zhou, Guofu ; Harvey, Campbell ; Solnik, Bruno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4660.

    Full description at Econpapers || Download paper

44. International Portfolio Choice and Asset Pricing: An Integrative Survey. (1994). Stulz, René.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4645.

    Full description at Econpapers || Download paper

45. The Implications of First-Order Risk Aversion for Asset Market Risk Premiums. (1994). Marshall, David ; Hodrick, Robert ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4624.

    Full description at Econpapers || Download paper

46. Conditional Asset Allocation in Emerging Markets. (1994). Harvey, Campbell.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4623.

    Full description at Econpapers || Download paper

47. The World Price of Foreign Exchange Risk. (1993). Dumas, Bernard ; Solnik, Bruno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4459.

    Full description at Econpapers || Download paper

48. Partial- Vs. General-Equilibrium Models of the International Capital Market. (1993). Dumas, Bernard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4446.

    Full description at Econpapers || Download paper

49. Global Financial Markets and the Risk Premium on U.S. Equity. (1992). Stulz, René ; Karolyi, G. ; Chan, K. C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4074.

    Full description at Econpapers || Download paper

50. Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns. (1992). Mark, Nelson ; Cecchetti, Stephen ; Lam, Pok-Sang .
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0124.

    Full description at Econpapers || Download paper

Report date: 2025-09-23 14:36:04 || Missing content? Let us know