Learning, regime switches, and equilibrium asset pricing dynamics

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.7K citations

Social Sciences, Business Economics, Economics +17

Asset Prices in an Exchange Economy

Robert E. Lucas · Econometrica · 1978 · 5.2K citations

Social Sciences, Economics, Asset Pricing +16

Permanent and Temporary Components of Stock Prices

Eugene F. Fama, Kenneth R. French · Journal of Political Economy · 1988 · 3.1K citations

Business, Economics, Finance +17

Mean reversion in stock prices

James M. Poterba, Lawrence H. Summers · Journal of Financial Economics · 1988 · 1.9K citations

Business, Economics, Finance +14

How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices

Allan Timmermann · The Quarterly Journal of Economics · 1993 · 464 citations

Business, Economics, Finance +17