The Response of Stock Prices to Permanent and Temporary Shocks to Dividends

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Macroeconomics and Reality

1980 • 12,249 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Expected stock returns and volatility

1987 • 4,291 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Testing for unit roots in autoregressive-moving average models of unknown order

1984 • 2,980 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 2,383 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Predicting returns in the stock and bond markets

1986 • 1,825 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

Mean Reversion in Stock Prices

1996 • 1,111 citations

Formulating and estimating dynamic linear rational expectations models

1980 • 845 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

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

1983 • 456 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

Stocks, bonds, bills, and inflation yearbook

1993 • 385 citations

Risk Aversion and the Martingale Property of Stock Prices

1973 • 360 citations

Dividend Behavior for the Aggregate Stock Market

1987 • 316 citations

Volatility Tests and Efficient Markets: A Review Essay

1991 • 164 citations

Volatility tests and efficient markets

1991 • 163 citations

Hypothesis Testing in ARIMA(p, 1, q) Models

1985 • 135 citations

Econometric Aspects of the Variance-Bounds Tests: A Survey

1991 • 97 citations

Time-Series Implications of Aggregate Dividend Behavior

1996 • 60 citations