Econometric Aspects of the Variance-Bounds Tests: A Survey

The General Theory of Employment, Interest and Money.

1936 • 14,151 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

Probability and Measure.

1996 • 6,988 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

The equity premium: A puzzle

1985 • 5,686 citations

The General Theory of Employment

1937 • 4,895 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

1989 • 4,242 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 2,383 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Temporal Resolution of Uncertainty and Dynamic Choice Theory

1978 • 1,849 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

1991 • 1,765 citations

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

1981 • 1,402 citations

The equity premium puzzle and the risk-free rate puzzle

1989 • 1,394 citations

Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends

1980 • 1,351 citations

Stock Prices and Social Dynamics

1984 • 1,274 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Does the Stock Market Overreact?

1985 • 1,093 citations

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

1979 • 866 citations

Stock Prices and Social Dynamics

1984 • 851 citations

Explosive Rational Bubbles in Stock Prices

1988 • 714 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 585 citations

Efficient Capital Markets and Martingales

1989 • 517 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

Dividend Innovations and Stock Price Volatility

1988 • 363 citations

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

1983 • 296 citations

Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation

1988 • 295 citations

An Unbiased Reexamination of Stock Market Volatility

1985 • 202 citations

On the current state of the stock market rationality hypothesis

1985 • 136 citations

Expectations Models of the Term Structure and Implied Variance Bounds

1980 • 127 citations

Bubbles and Charges

1992 • 115 citations

Stock Market Forecastability and Volatility: A Statistical Appraisal

1991 • 108 citations

Asset Price Volatility, Bubbles, and Process Switching

1986 • 103 citations

Risk Aversion and the Dispersion of Asset Prices

1981 • 81 citations

Bias in Small Sample Tests of Stock Price Rationality

1986 • 73 citations

Specification and estimation of intertemporal asset pricing models

1990 • 59 citations

Stock Price Volatility: Tests Based on the Geometric Random Walk

1992 • 57 citations

An Unbiased Reexamination of Stock Market Volatility

1985 • 51 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

Financial Market Efficiency Tests

1992 • 46 citations

Efficiency and the Variability of Asset Prices

1984 • 31 citations

The Probability of Gross Violations of a Present Value Variance Inequality

1988 • 29 citations

Ex‐post rational price approximations and the empirical reliability of the present‐value relation

1989 • 15 citations

Are stock prices excessively sensitive to current information?

1988 • 8 citations

Regression vs. volatility tests of the efficiency of foreign exchange markets

1987 • 5 citations

Capital market efficiency: an update

1990 • 5 citations

Are stock prices excessively sensitive to current information?

1992 • 1 citations

Are stock prices excessively sensitive to current information?

1992 • 1 citations