Permanent and Temporary Components of Stock Prices

Keywords

Autocorrelation, Mean reversion, Econometrics, Economics, Stock (firearms)

References

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Cited by

• A valuation process for intellectual property in a technology park environmentSanjoy Bose — 2004
• Developed and emerging stock markets during the global financial crisis (GFC)Seema Narayan, Islam, S — 2012
• Nonlinearity and market efficiency in GCC stock marketsAbdullah M. H. Alharbi — 2009
• Essays on the efficiency of volatility derivatives marketsΕιρήνη Κωνσταντινίδη — 2010
• Identifying Permanent and Temporary Components in Daily and Monthly Japanese Stock PricesBonnie K. Ray, Shaw Chen, Jeffrey E. Jarrett — 1997
• Notes and Communications – Comovements in International Stock Markets: What can we Learn From a Common Trend-Common Cycle Analysis?Alain Hecq, Franz C. Palm, Jean‐Pierre Urbain — 2000
• Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approachHyeongwoo Kim, Deockhyun Ryu — 2015
• Variation Of Share Prices Due To Fundamental And Non-fundamental InnovationsDavid E. Allen, Wenling Joey Yang — 2001
• Positive Feedback Trading Strategies: Evidencias sobre el futuro del Ibex-35Manuel Lorente Ortega — 2004
• Simple Comparisons between Mature and Immature Stock MarketsHongying Sun — 2007
• Trading Network Predicts Stock PriceXiao-Qian Sun, Hua-Wei Shen, Xue-Qi Cheng — 2014
• A Discrete-Time Consumption-CAP Model under Durability of Goods, Habit Formation and Temporal AggregationLuigi Ermini — 1994
• Financial Return Distributions: Past, Present, and COVID-19Marcin Wątorek, Jarosław Kwapień, Stanisław Drożdż — 2021
• Short Term Momentum: Role of Investor Sentiment in Return FormationYuqing Sha — 2012
• Capital investment decisions with managerial overconfidence and regret aversionChristopher Philipp Klauss — 2006
• Modelling nonlinearities in equity returns: the mean impact curve analysisVance L. Martin, Saikat Sarkar, Antti Kanto — 2014
• Valuation and hedging of long-term asset-linked contractsHenrik Andersson — 2003
• Systematisch risico van vliegmaatschappijen en de aanslagen van 11 september 2001J. Waasdorp — 2009
• Regime switching behaviour of the UK equity risk premiumMin Tan — 2013
• Causal Relationships Between Apartment REIT Stock Returns and Unsecuritized Residential Real EstateLing He — 2000

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