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

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

1987 • 30,456 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

The equity premium: A puzzle

1985 • 5,686 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Expected stock returns and volatility

1987 • 4,291 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

On estimating the expected return on the market

1980 • 2,932 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Trends and random walks in macroeconomic time series

1988 • 2,527 citations

Stock returns and the term structure

1987 • 2,322 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

Intertemporal Substitution in Consumption

1988 • 1,533 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

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

1981 • 1,402 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

The effects of dividend yield and dividend policy on common stock prices and returns

1974 • 1,034 citations

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

1979 • 866 citations

Multiple Time Series Regression with Integrated Processes

1986 • 857 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 585 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

Intertemporal Substitution in Macroeconomics

1985 • 341 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 336 citations

Dividend Behavior for the Aggregate Stock Market

1987 • 316 citations

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

1983 • 296 citations

Do we reject too often?

1986 • 257 citations

A note on maximum likelihood estimation of the rational expectations model of the term structure

1979 • 190 citations

A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85

1987 • 69 citations

Estimating the Continuous-Time Consumption-Based Asset-Pricing Model

1987 • 68 citations

An Unbiased Reexamination of Stock Market Volatility

1985 • 51 citations

Empirical assessment of present value relations

1986 • 50 citations