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Valuation Ratios and the Long-run Stock Market Outlook: An Update

Citations

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Cited by:

  1. Fredj Jawadi & Georges Prat, 2012. "Arbitrage costs and nonlinear adjustment in the G7 stock markets," Applied Economics, Taylor & Francis Journals, vol. 44(12), pages 1561-1582, April.
  2. Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.
  3. John Geanakoplos & Michael Magill & Martine Quinzii, 2003. "Demography and the Long Run Behavior of the Stock Market," Levine's Working Paper Archive 506439000000000269, David K. Levine.
  4. Jonathan Temple, 2002. "The Assessment: The New Economy," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 18(3), pages 241-264.
  5. Ellen McGrattan, 2023. "Taxes, Regulations, and the Value of U.S. Corporations: A Reassessment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 50, pages 131-145, October.
  6. Zeynep Senyuz, 2011. "Factor analysis of permanent and transitory dynamics of the US economy and the stock market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 975-998, September.
  7. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Chen, An-Sing & Lin, Shih-Chieh, 2011. "Asymmetrical return on equity mean reversion and catering," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 471-477, February.
  9. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  10. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2020. "Market-crash forecasting based on the dynamics of the alpha-stable distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  11. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
  12. David McMillan & Alan Speight, 2006. "Non-linear long horizon returns predictability: evidence from six south-east Asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 95-111, June.
  13. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 431-459, September.
  14. McMillan, David G., 2004. "Nonlinear predictability of short-run deviations in UK stock market returns," Economics Letters, Elsevier, vol. 84(2), pages 149-154, August.
  15. Soosung Hwang & Byung Khun Song, 2008. "'Irrational exuberance' in the long-run UK stock market," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3199-3211.
  16. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
  17. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
  18. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
  19. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, Regulations, and Asset Prices," NBER Working Papers 8623, National Bureau of Economic Research, Inc.
  20. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
  21. Claude B. Erb & Campbell R. Harvey, 2013. "The Golden Dilemma," NBER Working Papers 18706, National Bureau of Economic Research, Inc.
  22. Karl Whelan, 2002. "Some New Economy Lessons for Macroeconomists," Recherches économiques de Louvain, De Boeck Université, vol. 68(1), pages 21-36.
  23. Frydman, Roman & Goldberg, Michael D. & Mangee, Nicholas, 2015. "Knightian uncertainty and stock-price movements: Why the REH present-value model failed empirically," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-50.
  24. Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 15(3), pages 24-37, December.
  25. Park, Dojoon & Hahn, Jaehoon & Eom, Young Ho, 2024. "Predicting the equity premium with financial ratios: A comprehensive look over a long period in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
  26. Alain Durré & Pierre Giot, 2007. "An International Analysis of Earnings, Stock Prices and Bond Yields," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(3‐4), pages 613-641, April.
  27. Kim, Hyeongwoo & Kim, Jintae, 2018. "London calling: Nonlinear mean reversion across national stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 265-277.
  28. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Proxying for Expected Returns with Price Earnings Ratios," Finance 0410019, University Library of Munich, Germany.
  29. Ellen R. McGrattan & Edward C. Prescott, 2004. "The 1929 Stock Market: Irving Fisher Was Right," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 991-1009, November.
  30. Jianying Xie, 2021. "A New Multivariate Predictive Model for Stock Returns," Papers 2110.01873, arXiv.org.
  31. Dimitrios Koutmos, 2015. "Is there a Positive Risk†Return Tradeoff? A Forward†Looking Approach to Measuring the Equity Premium," European Financial Management, European Financial Management Association, vol. 21(5), pages 974-1013, November.
  32. repec:zbw:bofism:2006_035 is not listed on IDEAS
  33. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  34. Roger Ibbotson & Peng Chen, 2001. "Stock Market Returns in the Long Run: Participating in the Real Economy," Yale School of Management Working Papers ysm206, Yale School of Management, revised 01 Apr 2002.
  35. Michael Magill, 2004. "Demography and the Stock Market," Theory workshop papers 658612000000000080, UCLA Department of Economics.
  36. Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
  37. Boucher, C. & Jasinski, A. & Tokpavi, S., 2023. "Conditional mean reversion of financial ratios and the predictability of returns," Journal of International Money and Finance, Elsevier, vol. 137(C).
  38. Laih, Yih-Wenn & Lai, Hung-Neng & Li, Chun-An, 2015. "Analyst valuation and corporate value discovery," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 235-248.
  39. Roger Ibbotson & Peng Chen, 2001. "Stock Market Returns in the Long Run: Participating in the Real Economy," Yale School of Management Working Papers ysm206, Yale School of Management, revised 01 Apr 2002.
  40. Catherine Georgiou, 2020. "The British Stock Market under the Structure of Market Capitalization Value: New Evidence on its Predictive Content," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 13(3), pages 56-69, December.
  41. Sanna, Dario, 2020. "A Fast and Parsimonious Way to Estimate the Implied Rate of Return of Equity," MPRA Paper 102003, University Library of Munich, Germany.
  42. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
  43. Jurdi, Doureige & Kim, Jae, 2019. "Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method," MPRA Paper 94028, University Library of Munich, Germany.
  44. Lauri Kajanoja, 2005. "Extracting growth and inflation expectations from financial market data," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 193-205, Bank for International Settlements.
  45. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
  46. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
  47. Olesen, Jan Overgaard & Risager, Ole, 2000. "On The Predictability Of The Danish Equity Premium," Working Papers 05-2001, Copenhagen Business School, Department of Economics.
  48. Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016. "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 363-386, December.
  49. Jakub W. Jurek & Luis M. Viceira, 2011. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," Review of Finance, European Finance Association, vol. 15(1), pages 29-74.
  50. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
  51. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, University Library of Munich, Germany.
  52. Priit Sander & Mark Kantšukov, 2009. "Effect of Corporate Taxation System on Profitability and Market Ratios – the Case of ROE and P/B Ratios," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 1(2).
  53. Shraddha Mishra & Raj Kumar, 2016. "Investigation of overvalued and undervalued stocks: the case of BSE Sensex," International Journal of Business Excellence, Inderscience Enterprises Ltd, vol. 10(2), pages 177-189.
  54. Kaihua Deng, 2015. "Predicting By Learning: An Adaptive Rationale," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-14, December.
  55. Chen Xiang LIU & Mohamed El Hedi AROURI, 2008. "Stock craze: an empirical analysis of PER in Chinese equity market," Economics Bulletin, AccessEcon, vol. 14(1), pages 1-17.
  56. Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
  57. Weller, Christian E. & Wenger, Jeffrey B., 2009. "Prudent investors: the asset allocation of public pension plans," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(4), pages 501-525, October.
  58. David Dupuis & David Tessier, 2004. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Money Macro and Finance (MMF) Research Group Conference 2004 73, Money Macro and Finance Research Group.
  59. Lof, Matthijs, 2010. "Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions," MPRA Paper 30520, University Library of Munich, Germany.
  60. Salomons, Roelof, 2004. "Atactical implication of predictability: fighting the FED model," Research Report 04E07, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  61. De Santis, Roberto A. & Lührmann, Melanie, 2006. "On the determinants of external imbalances and net international portfolio flows: a global perspective," Working Paper Series 651, European Central Bank.
  62. Jonathan McCarthy & Richard Peach, 2004. "Are home prices the next \\"bubble\\"?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-17.
  63. Ellen R. McGrattan & Edward C. Prescott, 2005. "Taxes, Regulations, and the Value of U.S. and U.K. Corporations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 767-796.
  64. John Y. Campbell & Samuel B. Thompson, 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
  65. Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert L., 2020. "The Relative Valuation Of Gold," Macroeconomic Dynamics, Cambridge University Press, vol. 24(6), pages 1346-1391, September.
  66. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887, Elsevier.
  67. Chyi-Lun Chiou, 2015. "Understanding the Cash Flow-Fundamental Ratio," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 148-157.
  68. Lleo, Sébastien & Ziemba, William T., 2015. "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world," International Journal of Forecasting, Elsevier, vol. 31(2), pages 399-425.
  69. Spencer D. Krane, 2003. "An evaluation of real GDP forecasts: 1996-2001," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 27(Q I), pages 2-21.
  70. Mehra, Rajnish, 2010. "Indian Equity Markets: Measures of Fundamental Value," India Policy Forum, National Council of Applied Economic Research, vol. 6(1), pages 1-38.
  71. Giot, Pierre & Petitjean, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, vol. 23(2), pages 289-305.
  72. Andreas Humpe & David G. McMillan, 2018. "Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 413-428, October.
  73. Jeeman Jung & Robert Shiller, 2002. "One Simple Test of Samuelson's Dictum for the Stock Market," Yale School of Management Working Papers ysm315, Yale School of Management, revised 01 Nov 2003.
  74. Jonathan McCarthy & Richard W. Peach, 2005. "Is There a 'Bubble' in the Housing Market Now?," NFI Policy Briefs 2005-PB-01, Indiana State University, Scott College of Business, Networks Financial Institute.
  75. Roman Kraeussl & Christian Wiehenkamp, 2012. "A call on art investments," Review of Derivatives Research, Springer, vol. 15(1), pages 1-23, April.
  76. Jakob B Madsen & E Philip Davis, 2006. "Equity Prices, Productivity Growth and 'The New Economy'," Economic Journal, Royal Economic Society, vol. 116(513), pages 791-811, July.
  77. Sean D. Campbell & Morris A. Davis & Joshua H. Gallin & Robert F. Martin, 2006. "A trend and variance decomposition of the rent-price ratio in housing markets," Finance and Economics Discussion Series 2006-29, Board of Governors of the Federal Reserve System (U.S.).
  78. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, vol. 10(1), pages 34-40.
  79. Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
  80. Ritter, Jay R., 2005. "Economic growth and equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 489-503, November.
  81. Branston, Christopher B. & Groenewold, Nicolaas, 2004. "Investment and share prices: fundamental versus speculative components," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 199-226, August.
  82. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," Harvard Institute of Economic Research Working Papers 2084, Harvard - Institute of Economic Research.
  83. Basistha, Arabinda & Kurov, Alexander, 2010. "Estimating earnings trend using unobserved components framework," Economics Letters, Elsevier, vol. 107(1), pages 55-57, April.
  84. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
  85. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
  86. Georges Prat & Fredj Jawadi, 2007. "Nonlinear stock prices adjustment in the G7 countries," Working Papers halshs-00172896, HAL.
  87. L. Spierdijk & J.A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
  88. David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
  89. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
  90. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  91. Spierdijk, Laura & Bikker, Jacob A. & van den Hoek, Pieter, 2012. "Mean reversion in international stock markets: An empirical analysis of the 20th century," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 228-249.
  92. Author-Name: John Geanakoplos & Michael Magill & Martine Quinzii, 2004. "Demography and the Long-Run Predictability of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(1), pages 241-326.
  93. Ivan D. Trofimov, 2024. "A Time Series Analysis of Corporate Profit Rates in Selected Developed Economies: Asymmetries, Non-linearity and Mean Reversion," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(2), pages 303-338, June.
  94. Safiullin L. N.* & Kokh I. A. & Bodrov R. G. & Gumerov A. V., 2018. "Possibilities of Application of Analytical Methods on the Present Securities Market," The Journal of Social Sciences Research, Academic Research Publishing Group, vol. 4(12), pages 711-717, 12-2018.
  95. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 2001. "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 321-370, National Bureau of Economic Research, Inc.
  96. Nicolaas Groenewold, 2003. "Consumption and Stock Prices: Can We Distinguish Signalling from Wealth Effects?," Economics Discussion / Working Papers 03-22, The University of Western Australia, Department of Economics.
  97. Ali, Syed Riaz Mahmood & Rahman, M Arifur & Hasan, Mohammad Nurul & Östermark, Ralf, 2020. "Positive IVOL-MAX effect: A study on the Singapore Stock Market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  98. David G. McMillan, 2005. "Non‐linear dynamics in international stock market returns," Review of Financial Economics, John Wiley & Sons, vol. 14(1), pages 81-91.
  99. Robert E. Houmes & Terrance R. Skantz, 2010. "Highly Valued Equity and Discretionary Accruals," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1-2), pages 60-92.
  100. repec:dgr:rugsom:04e07 is not listed on IDEAS
  101. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
  102. David McMillan & Mark Wohar, 2013. "UK stock market predictability: evidence of time variation," Applied Financial Economics, Taylor & Francis Journals, vol. 23(12), pages 1043-1055, June.
  103. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
  104. Coricelli, Fabrizio & Driffield, Nigel & Pal, Sarmistha & Roland, Isabelle, 2012. "When does leverage hurt productivity growth? A firm-level analysis," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1674-1694.
  105. Oliver D. Bunn & Robert J. Shiller, "undated". "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," Cowles Foundation Discussion Papers 1950, Cowles Foundation for Research in Economics, Yale University.
  106. Alain Durré & Pierre Giot, 2007. "An International Analysis of Earnings, Stock Prices and Bond Yields," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(3-4), pages 613-641.
  107. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
  108. Alsuhaibani, Waleed & Houmes, Robert & Wang, Daphne, 2023. "The evolution of financial reporting quality for companies listed on the Tadawul Stock Exchange in Saudi Arabia: New emerging markets' evidence," Emerging Markets Review, Elsevier, vol. 55(C).
  109. Andrew Vivian & Mark Wohar, 2010. "UK stock price effects of permanent and transitory shocks," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 641-656.
  110. Georgeta Vintila & Elena Alexandra Nenu, 2015. "An Analysis of Determinants of Corporate Financial Performance: Evidence from the Bucharest Stock Exchange Listed Companies," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 732-739.
  111. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Modeling The Dividend-Price Ratio: The Role Of Fundamentals Using A Regime-Switching Approach," Working Papers 12-2000, Copenhagen Business School, Department of Economics.
  112. Marco Taboga, 2004. "The equity premium in the long-run," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 645-650.
  113. Tom Engsted, 2016. "Fama On Bubbles," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 370-376, April.
  114. Christophe Boucher, 2003. "Stock Market Valuation : the Role of the Macroeconomic Risk Premium," Finance 0305011, University Library of Munich, Germany.
  115. Joshua H. Gallin, 2004. "The long-run relationship between house prices and rents," Finance and Economics Discussion Series 2004-50, Board of Governors of the Federal Reserve System (U.S.).
  116. Garry L. Shelley & Anca Traian & William J. Trainor Jr., 2020. "Stock market "prediction" models," Economics Bulletin, AccessEcon, vol. 40(2), pages 1548-1556.
  117. Anne Vila Wetherilt & Simon Wells, 2004. "Long-horizon equity return predictability: some new evidence for the United Kingdom," Bank of England working papers 244, Bank of England.
  118. Stefano Cassella & Huseyin Gulen, 2018. "Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4345-4397.
  119. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
  120. Bradford Cornell & Jakša Cvitanić & Levon Goukasian, 2010. "Beliefs regarding fundamental value and optimal investing," Annals of Finance, Springer, vol. 6(1), pages 83-105, January.
  121. repec:ebl:ecbull:v:14:y:2008:i:1:p:1-17 is not listed on IDEAS
  122. Manzan, S., 2003. "Nonlinear Mean Reversion in Stock Prices," CeNDEF Working Papers 03-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  123. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2006_035, July.
  124. Ralf Becker & Junsoo Lee & Benton Gup, 2012. "An empirical analysis of mean reversion of the S&P 500’s P/E ratios," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 675-690, July.
  125. Mohamed Zouaoui & Geneviève Nouyrigat & Francisca Beer, 2011. "How does investor sentiment affect stock market crises?Evidence from panel data," Working Papers CREGO 1110304, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
  126. Robert J. Barro, 2005. "Rare Events and the Equity Premium," NBER Working Papers 11310, National Bureau of Economic Research, Inc.
  127. Houmes, Robert & Chira, Inga, 2015. "The effect of ownership structure on the price earnings ratio — returns anomaly," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 140-147.
  128. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
  129. McMillan, David G., 2005. "Non-linear dynamics in international stock market returns," Review of Financial Economics, Elsevier, vol. 14(1), pages 81-91.
  130. Shlomo Benartzi & Richard H. Thaler, 2002. "How Much Is Investor Autonomy Worth?," Journal of Finance, American Finance Association, vol. 57(4), pages 1593-1616, August.
  131. Kurach Radosław & Słoński Tomasz, 2015. "The PE Ratio and the Predicted Earnings Growth – the Case of Poland," Folia Oeconomica Stetinensia, Sciendo, vol. 15(1), pages 127-138, June.
  132. Yan-Ting Lin & Shang-Chi Gong & Sou-Shan Wu & Tsung-Pei Lee, 2012. "E/P Mean Reversion-Based Strategies for Investment Practice: Evidence from the Taiwan Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(1), pages 117-131, January.
  133. Karavias, Yiannis & Spilioti, Stella & Tzavalis, Elias, 2016. "A comparison of investors’ sentiments and risk premium effects on valuing shares," Finance Research Letters, Elsevier, vol. 17(C), pages 1-6.
  134. Li Shuangjie & Hu Xuefeng & Wang Liming, 2020. "Could the Stock Market Adjust Itself? An Empirical Study Based on Mean Reversion Theory," Journal of Systems Science and Information, De Gruyter, vol. 8(2), pages 97-115, April.
  135. M. Zouaoui & G. Nouyrigat & F. Beer, 2010. "How does investor sentiment affect stock market crises? Evidence from panel data," Post-Print halshs-00534754, HAL.
  136. John B. Carlson & Eduard A. Pelz & Mark E. Wohar, 2001. "Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests," Working Papers (Old Series) 0113, Federal Reserve Bank of Cleveland.
  137. De Santis, Roberto A. & Lührmann, Melanie, 2009. "On the determinants of net international portfolio flows: A global perspective," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 880-901, September.
  138. Huong Dang & Michael Jolly, 2016. "IPOs in New Zealand: Valuation Multiples and Benchmark Adjusted Performance," Working Papers in Economics 16/32, University of Canterbury, Department of Economics and Finance.
  139. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
  140. Babaei Semirumi, 2012. "Literatures About Asset Price Bubbles," Annals - Economic and Administrative Series -, Faculty of Business and Administration, University of Bucharest, vol. 6(1), pages 35-55, December.
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