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Cointegration Tests of Present Value Models with a Time-Varying Discount Factor.. (1995). Timmermann, Allan.
In: Journal of Applied Econometrics.
RePEc:jae:japmet:v:10:y:1995:i:1:p:17-31.

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Cited: 34

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    In: MPRA Paper.
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  2. Financial institutions, asymmetric information and capital structure adjustments. (2020). Ripamonti, Alexandre.
    In: The Quarterly Review of Economics and Finance.
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  3. Asymmetric information and daily stock prices in Brazil. (2020). Ichimura, Denis ; Videira, Raphael ; Ripamonti, Alexandre.
    In: Estudios Gerenciales.
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  4. BUBBLES IN THE PRICES OF HOUSING? EVIDENCE TO BRAZIL?S ECONOMY. (2018). Silva, Marcelo ; da Nobrega, Cassio ; Paes, Nelson Leito.
    In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting].
    RePEc:anp:en2016:118.

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  5. Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. (2016). Ripamonti, Alexandre.
    In: MPRA Paper.
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  6. Explosive bubbles in house prices? Evidence from the OECD countries. (2016). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J.
    In: Journal of International Financial Markets, Institutions and Money.
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  7. Bubbles and the Weibull distribution: was there an explosive bubble in US stock prices before the global economic crisis?. (2015). Kim, Sang Bong ; Nam, Joo Ha ; Yuhn, Ky-Hyang .
    In: Applied Economics.
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  8. A new approach to estimating value–income ratios with income growth and time-varying yields. (2015). Wang, Peijie ; Brand, Steven .
    In: European Journal of Operational Research.
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  9. Explosive bubbles in house prices? Evidence from the OECD countries. (2015). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J..
    In: CREATES Research Papers.
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  10. Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return. (2013). Ripamonti, Alexandre .
    In: MPRA Paper.
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  11. Rational speculative bubbles in the Asian stock markets: Tests on deterministic explosive bubbles and stochastic explosive root bubbles. (2013). Quan, Lianfeng ; Chen, Yen-Hsiao .
    In: Journal of Asset Management.
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  12. Present value model between prices and dividends with constant and time-varying expected returns: enterprise-level Brazilian stock market evidence from non-stationary panels. (2012). Rivera Rivera, Edward ; Marçal, Emerson.
    In: Brazilian Business Review.
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  13. Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration. (2011). Chang, Tsangyao ; Hung, Ken ; Ye, Yonggang ; Lu, Yang-Cheng.
    In: Mathematics and Computers in Simulation (MATCOM).
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  14. Rational bubbles and volatility persistence in India stock market. (2009). Onour, Ibrahim.
    In: MPRA Paper.
    RePEc:pra:mprapa:18545.

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  15. Do house prices reflect fundamentals? Aggregate and panel data evidence. (2009). Zemcik, Petr ; Mikhed, Vyacheslav.
    In: Journal of Housing Economics.
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  16. Dividends, prices and the present value model: firm-level evidence. (2008). Wilson, John ; Goddard, John ; McMillan, David.
    In: The European Journal of Finance.
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  17. Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests. (2008). Chang, Tsangyao ; Liu, Wen-Chi .
    In: Economics Bulletin.
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  18. Testing for stock market bubbles using nonlinear models and fractional integration. (2007). Pérez de Gracia, Fernando ; Gil-Alana, Luis ; Cuñado, Juncal.
    In: Applied Financial Economics.
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  19. An International Analysis of Earnings, Stock Prices and Bond Yields. (2007). Giot, Pierre ; Durre, Alain.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:34:y:2007:i:3-4:p:613-641.

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  20. Explosive bubbles in the cointegrated VAR model. (2006). Engsted, Tom.
    In: Finance Research Letters.
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  21. The information content of the Bond-Equity Yield Ratio: better than a random walk?. (2006). PETITJEAN, Mikael ; Giot, Pierre.
    In: CORE Discussion Papers.
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  22. Nonlinearity in the stock price-dividend relation. (2005). Kanas, Angelos.
    In: Journal of International Money and Finance.
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  23. A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach. (2005). Gil-Alana, Luis ; Cuñado, Juncal ; CUNADO, J. ; de Gracia, Perez F..
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  24. Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?. (2004). Binswanger, Mathias.
    In: The Quarterly Review of Economics and Finance.
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  25. The present value model of U.S. stock prices redux: a new testing strategy and some evidence. (2004). Siklos, Pierre ; Bohl, Martin T..
    In: The Quarterly Review of Economics and Finance.
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  26. Stock prices and the dividend discount model: did their relation break down in the 1990s?. (2004). Strauss, Jack ; Nasseh, Ali Reza.
    In: The Quarterly Review of Economics and Finance.
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  27. Stock Market Valuation : the Role of the Macroeconomic Risk Premium. (2003). Boucher, Christophe.
    In: Finance.
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  28. Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium. (2003). Kramer, Lisa ; Kamstra, Mark ; Donaldson, Glen.
    In: FRB Atlanta Working Paper.
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  29. Periodically collapsing bubbles in the US stock market?. (2003). Bohl, Martin T..
    In: International Review of Economics & Finance.
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  30. A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables. (2002). Fanelli, Luca.
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  31. Risky Arbitrage, Limits of Arbitrage, and Nonlinear Adjustment in the Dividend-Price Ratio.. (2001). Taylor, Mark ; Gallagher, Liam.
    In: Economic Inquiry.
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  32. Time-varying persistence in expected returns. (2001). priestley, richard.
    In: Journal of Banking & Finance.
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  33. Stock prices and domestic and international macroeconomic activity: a cointegration approach. (2000). Strauss, Jack ; Nasseh, Ali Reza.
    In: The Quarterly Review of Economics and Finance.
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  34. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
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References

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