Volatility tests and efficient markets

The Use of Knowledge in Society

1996 • 7,021 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

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

1988 • 3,689 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 1,453 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

1991 • 1,054 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

Explosive Rational Bubbles in Stock Prices

1988 • 714 citations

Explaining the Variance of Price–Dividend Ratios

1992 • 519 citations

Efficient Capital Markets and Martingales

1989 • 517 citations

An Introduction to the Theory of Rational Expectations Under Asymmetric Information

1981 • 434 citations

On Testing for Speculative Bubbles

1990 • 397 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 373 citations

A critique of the application of unit root tests

1991 • 318 citations

Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

1991 • 312 citations

The observable implications of self-fulfilling expectations

1985 • 262 citations

The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives

1989 • 156 citations

Stock Price Volatility: Tests Based on the Geometric Random Walk

1992 • 57 citations