Excess Stock Price Volatility as a Misspecified Euler Equation

Spectral Analysis and Time Series

1983 • 5,140 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

The Statistical Analysis of Time Series.

1995 • 2,128 citations

Multiple time series

1970 • 1,885 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

The Present-Value Relation: Tests Based on Implied Variance Bounds

1981 • 1,402 citations

Stock Prices and Social Dynamics

1984 • 1,274 citations

The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

1979 • 866 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

A Specification Test for Speculative Bubbles

1987 • 475 citations

Dividend variability and variance bounds tests for the rationality of stock market prices

1983 • 456 citations

Bubbles, Rational Expectations and Financial Markets

1982 • 384 citations

Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence

1983 • 296 citations

An Unbiased Reexamination of Stock Market Volatility

1985 • 202 citations

Mean Reversion in Stock Prices: Evidence and Implications

1987 • 178 citations

Expectations Models of the Term Structure and Implied Variance Bounds

1980 • 127 citations

Asset Price Volatility, Bubbles, and Process Switching

1986 • 103 citations

Risk Aversion and the Dispersion of Asset Prices

1981 • 81 citations

Variance Bounds in a Simple Model of Asset Pricing

1982 • 51 citations

The Present Value Model of Stock Prices: Regression Tests and Monte Carlo Results

1985 • 46 citations

The Probability of Gross Violations of a Present Value Variance Inequality

1988 • 29 citations

Are stock prices excessively sensitive to current information?

1988 • 8 citations

Deleted Work

1955 • 0 citations