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Indexes of U.S. Stock Prices from 1802 to 1987

Citations

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Cited by:

  1. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  2. Kenneth A. Froot, 2019. "Currency Hedging Over Long Horizons," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 37-66, May.
  3. Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
  4. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
  5. Dimson, Elroy & Spaenjers, Christophe, 2011. "Ex post: The investment performance of collectible stamps," Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
  6. Ethan Ilzetzki & Carmen M. Reinhart & Kenneth S. Rogoff, 2020. "Will the Secular Decline in Exchange Rate and Inflation Volatility Survive COVID-19?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(3 (Fall)), pages 279-332.
  7. Arthur Korteweg & Roman Kräussl & Patrick Verwijmeren, 2016. "Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 29(4), pages 1007-1038.
  8. Tim Brailsford & John C. Handley & Krishnan Maheswaran, 2008. "Re‐examination of the historical equity risk premium in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(1), pages 73-97, March.
  9. Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
  10. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
  11. Josefin Meyer & Carmen M Reinhart & Christoph Trebesch, 2022. "Sovereign Bonds Since Waterloo," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(3), pages 1615-1680.
  12. Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022. "The illusion of oil return predictability: The choice of data matters!," Journal of Banking & Finance, Elsevier, vol. 134(C).
  13. Mark J. Jensen & John M. Maheu, 2018. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, vol. 11(3), pages 1-29, September.
  14. William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," American Economic Review, American Economic Association, vol. 101(3), pages 222-226, May.
  15. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
  16. Bailey, Warren & Mao, Connie X. & Zhong, Rui, 2003. "Exchange rate regimes and stock return volatility: some evidence from Asia's silver era," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 557-584.
  17. Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021. "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 42(C).
  18. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Universite de Montreal, Departement de sciences economiques.
  19. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
  20. Ichev, Riste & Marinč, Matej, 2018. "Stock prices and geographic proximity of information: Evidence from the Ebola outbreak," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 153-166.
  21. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
  22. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  23. Reinhard Ellwanger, Stephen Snudden, 2021. "Predictability of Aggregated Time Series," LCERPA Working Papers bm0127, Laurier Centre for Economic Research and Policy Analysis.
  24. John Powell & Rubén Roa & Jing Shi & Viliphonh Xayavong, 2007. "A Test for Long-Term Cyclical Clustering of Stock Market Regimes," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 205-221, December.
  25. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
  26. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
  27. Zeng, Songlin & Bec, Frédérique, 2015. "Do stock returns rebound after bear markets? An empirical analysis from five OECD countries," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 50-61.
  28. Wujun Lv & Tao Pang & Xiaobao Xia & Jingzhou Yan, 2023. "Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
  29. 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.
  30. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
  31. Kliger, Doron & Qadan, Mahmoud, 2019. "The High Holidays: Psychological mechanisms of honesty in real-life financial decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 78(C), pages 121-137.
  32. William Goetzmann & Roger Ibbotson & Liang Peng, 2000. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm5, Yale School of Management, revised 01 Mar 2001.
  33. William Goetzmann & Roger Ibbotson, 2005. "History and the Equity Risk Premium," Yale School of Management Working Papers ysm448, Yale School of Management.
  34. G. William Schwert, 2011. "Stock Volatility during the Recent Financial Crisis," European Financial Management, European Financial Management Association, vol. 17(5), pages 789-805, November.
  35. Jorge Brusa & Pu Liu & Craig Schulman, 2005. "Weekend Effect, 'Reverse' Weekend Effect, and Investor Trading Activities," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7-8), pages 1495-1517.
  36. Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
  37. Ellwanger, Reinhard & Snudden, Stephen, 2023. "Forecasts of the real price of oil revisited: Do they beat the random walk?," Journal of Banking & Finance, Elsevier, vol. 154(C).
  38. Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, vol. 102(2), pages 233-250.
  39. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
  40. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  41. Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2015. "The price of wine," Journal of Financial Economics, Elsevier, vol. 118(2), pages 431-449.
  42. Jorge Brusa & Pu Liu & Craig Schulman, 2005. "Weekend Effect, ‘Reverse’ Weekend Effect, and Investor Trading Activities," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1495-1517, September.
  43. Guo, Hui & Savickas, Robert & Wang, Zijun & Yang, Jian, 2009. "Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 133-154, February.
  44. John G Powell & Meifen Qian & Jing Shi & Qiaoqiao Zhu, 2015. "Should stock market return forecasts be conditioned on politics?," Australian Journal of Management, Australian School of Business, vol. 40(4), pages 672-700, November.
  45. Durga Prasad Samontaray & Sultan Nugali & Bokkasam Sasidhar, 2014. "A Study of the Effect of Macroeconomic Variables on Stock Market: Saudi Perspective," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 120-127, October.
  46. Zakamulin, Valeriy & Giner, Javier, 2022. "Time series momentum in the US stock market: Empirical evidence and theoretical analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
  47. Paul Kofman & James T. Moser, 2001. "Stock margins and the condition probability of price reversals," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q III), pages 2-12.
  48. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
  49. Gonzalez, Liliana & Powell, John G. & Shi, Jing & Wilson, Antony, 2005. "Two centuries of bull and bear market cycles," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 469-486.
  50. Smimou, K., 2011. "Transition to the Euro and its impact on country portfolio diversification," Research in International Business and Finance, Elsevier, vol. 25(1), pages 88-103, January.
  51. Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
  52. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
  53. Spaenjers, C., 2011. "Essays in alternative investments," Other publications TiSEM 8c51041f-6a63-451f-b7f4-8, Tilburg University, School of Economics and Management.
  54. Stivers, Christopher T., 2003. "Firm-level return dispersion and the future volatility of aggregate stock market returns," Journal of Financial Markets, Elsevier, vol. 6(3), pages 389-411, May.
  55. Giner, Javier & Zakamulin, Valeriy, 2023. "A regime-switching model of stock returns with momentum and mean reversion," Economic Modelling, Elsevier, vol. 122(C).
  56. Mikhail Samonov & Nonna Sorokina, 2024. "A century of asset allocation crash risk," Journal of Asset Management, Palgrave Macmillan, vol. 25(4), pages 383-406, July.
  57. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
  58. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
  59. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
  60. Chan, Kam Fong & Marsh, Terry, 2021. "Asset prices, midterm elections, and political uncertainty," Journal of Financial Economics, Elsevier, vol. 141(1), pages 276-296.
  61. Sang Bin Lee & Tae Yol Yoo, 1991. "Margin Regulation And Stock Market Response: Further Evidence From The U.S. And Some Pacific‐Basin Countries," Review of Financial Economics, John Wiley & Sons, vol. 1(1), pages 79-98, September.
  62. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
  63. Chin Alycia & Warusawitharana Missaka, 2010. "Financial Market Shocks during the Great Depression," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-27, September.
  64. repec:dau:papers:123456789/4113 is not listed on IDEAS
  65. Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
  66. Vortelinos, Dimitrios I. & Thomakos, Dimitrios D., 2013. "Nonparametric realized volatility estimation in the international equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 34-45.
  67. Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya A., 2014. "Macroeconomic effects of corporate default crisis: A long-term perspective," Journal of Financial Economics, Elsevier, vol. 111(2), pages 297-310.
  68. Wang, Ming-Hui & Ke, Mei-Chu & Liang Liao, Tung & Chiang, Yi-Chein & Hsu, Chuan-Hao, 2020. "Alternative estimation method of earnings growth rate for PEGR strategy," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
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