A VARIANCE DECOMPOSITION FOR STOCK RETURNS

[21] KIM MJ, 1989, UNPUB MEAN REVERSION

[22] MONEY, REAL INTEREST-RATES, AND OUTPUT - A REINTERPRETATION OF POSTWAR UNITED-STATES DATA [J]. ECONOMETRICA, 1985, 53 (01) : 129 - 156

[23] Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test [J]. REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) : 41 - 66

[24] POTERBA JM, 1986, AM ECON REV, V76, P1142

[25] MEAN REVERSION IN STOCK-PRICES - EVIDENCE AND IMPLICATIONS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1988, 22 (01) : 27 - 59

[26] RICHARDSON M, 1989, UNPUB TEMPORARY COMP

[27] R2 [J]. JOURNAL OF FINANCE, 1988, 43 (03) : 541 - 566

[28] STOCK JH, 1989, UNPUB DRAWING INFERE

[29] White H., 1984, ASYMPTOTIC THEORY EC

[21] KIM MJ, 1989, UNPUB MEAN REVERSION

[22] MONEY, REAL INTEREST-RATES, AND OUTPUT - A REINTERPRETATION OF POSTWAR UNITED-STATES DATA [J]. ECONOMETRICA, 1985, 53 (01) : 129 - 156

[23] Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test [J]. REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) : 41 - 66

[24] POTERBA JM, 1986, AM ECON REV, V76, P1142

[25] MEAN REVERSION IN STOCK-PRICES - EVIDENCE AND IMPLICATIONS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1988, 22 (01) : 27 - 59

[26] RICHARDSON M, 1989, UNPUB TEMPORARY COMP

[27] R2 [J]. JOURNAL OF FINANCE, 1988, 43 (03) : 541 - 566

[28] STOCK JH, 1989, UNPUB DRAWING INFERE

[29] White H., 1984, ASYMPTOTIC THEORY EC