Low-Frequency Movements in Stock Prices: A State-Space Decomposition

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1991 • 11,052 citations

Journal of economic literature

1996 • 10,163 citations

The American Economic Review

2012 • 7,538 citations

By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

1999 • 5,300 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

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

1988 • 3,689 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 2,383 citations

A Variance Decomposition for Stock Returns

1991 • 1,817 citations

The Resurgence of Growth in the Late 1990s: Is Information Technology the Story?

2000 • 1,729 citations

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

1981 • 1,402 citations

Does the “New Economy” Measure up to the Great Inventions of the Past?

2000 • 1,295 citations

The Investment, Financing, and Valuation of the Corporation

1963 • 983 citations

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

1993 • 935 citations

The Equity Premium: It's Still a Puzzle

1996 • 882 citations

Asset Pricing at the Millennium

2000 • 701 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

Explaining the Variance of Price–Dividend Ratios

1992 • 519 citations

Inflation, real returns and capital investment

1982 • 491 citations

What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns

1993 • 457 citations

Why Does the Stock Market Fluctuate?

1993 • 418 citations

The Information-Technology Revolution and the Stock Market

1999 • 334 citations

Anomalies: The Equity Premium Puzzle

1997 • 296 citations

Movements in the Equity Premium

1993 • 276 citations

1974

1997 • 266 citations

The Shrinking Equity Premium

1999 • 215 citations

Economic Perspectives

1998 • 214 citations

Stock prices and bond yields

1992 • 203 citations

The Equity Premium

2000 • 193 citations

Where is the Market Going? Uncertain Facts and Novel Theories

1998 • 187 citations

Perspectives on High World Real Interest Rates

1984 • 172 citations

Volatility Tests and Efficient Markets: A Review Essay

1991 • 164 citations

Uncovering Financial Market Expectations of Inflation

1985 • 134 citations

Stock Prices and Fundamentals

1999 • 132 citations

Permanent, Temporary, and Non-Fundamental Components of Stock Prices

1998 • 128 citations

Stock Prices and Fundamentals

1999 • 96 citations

Bull and Bear Markets in the Twentieth Century

1990 • 77 citations

Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering

1986 • 77 citations

The Equity Risk Premium is Lower Than You Think It Is: Empirical Estimates From a New Approach

1999 • 70 citations

The US stock market and the global economic crisis

1999 • 46 citations

Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering

1986 • 33 citations

The Suffolk Bank and the Panic of 1837

2000 • 21 citations

The information technology revolution and the stock market: preliminary evidence

2000 • 20 citations

Accounting for Growth

1998 • 18 citations

U.S. Economic Performance: Good Fortune, Bubble, or New Era

1999 • 4 citations

Deleted Work

1955 • 0 citations