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      KCI등재

      주식시장의 변동성과 효율성: 공분산비에 의한 평균회귀 분석 = Volatility and Efficiency of Stock Markets: Mean Reversion Detected by Covariance Ratios

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      https://www.riss.kr/link?id=A75746336

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      참고문헌 (Reference)

      1 "When are Contrarian Profits due to Stock Market Overreaction? Review of Financial Studies 3" 175-205, 1990

      2 "What Drives Firm, Level Stock Returns?" 57 : 233-264, 2002

      3 "The Size and Power of the Variance Ratio Test in Finite Samples Journal of Econometrics 40" 203-238, 1989

      4 "The Role of Small Sample Bias Journal of Finance 48" 641-661, 1993

      5 "The Econometrics of Financial Markets" Princeton University Press Princeton 1997

      6 "Returns to Buying Winners and Selling Losers Implications for Stock Market Efficiency Journal of Finance 48" 65-91, 1993

      7 "Quarterly Journal of Economics 105" 1-28, 1990

      8 "Profitability of Momentum Strategies An Evaluation of Alternative Explanations" 56 : 699-720, 2001

      9 "Permanent and Temporary Components of Stock Prices Journal of Political Economy 96" 246-273, 1988

      10 "One Simple Test of Samuelson’s Dictum for the Stock Market" (9348) : 2002

      1 "When are Contrarian Profits due to Stock Market Overreaction? Review of Financial Studies 3" 175-205, 1990

      2 "What Drives Firm, Level Stock Returns?" 57 : 233-264, 2002

      3 "The Size and Power of the Variance Ratio Test in Finite Samples Journal of Econometrics 40" 203-238, 1989

      4 "The Role of Small Sample Bias Journal of Finance 48" 641-661, 1993

      5 "The Econometrics of Financial Markets" Princeton University Press Princeton 1997

      6 "Returns to Buying Winners and Selling Losers Implications for Stock Market Efficiency Journal of Finance 48" 65-91, 1993

      7 "Quarterly Journal of Economics 105" 1-28, 1990

      8 "Profitability of Momentum Strategies An Evaluation of Alternative Explanations" 56 : 699-720, 2001

      9 "Permanent and Temporary Components of Stock Prices Journal of Political Economy 96" 246-273, 1988

      10 "One Simple Test of Samuelson’s Dictum for the Stock Market" (9348) : 2002

      11 "Multivariate Estimates of the Permanent Components of GNP and Stock Prices Journal of Economic Dynamics and Control 12" 255-296, 1988

      12 "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence Review of Economic Studies 58" 515-528, 1991

      13 "Mean Reversion in Stock Prices Journal of Financial Economics 22" 27-59, 1988

      14 "Learning to Be Overconfident" 14 : 1-27, 2001

      15 "Journal of Finance 40" 793-808, 1985

      16 "Journal of Business 39" 1966191-225

      17 "Investor Psychology and Security Market Under-and Overreactions" 53 : 1839-1885, 1998

      18 "Implications for Tests of Market Efficiency and Serial Correlation in Returns Journal of Financial Economics 25" (nstationary expected returns) : 51-74, 1989

      19 "Further Evidence on Investor Overreaction and Stock Market Seasonality Journal of Finance 42" 557-581, 1987

      20 "Evidence of Predictive Behavior of Security Returns Journal of Finance 45" 881-898, 1990

      21 "Evidence from a Simple Specification test Review of Financial Studies 1" 41-66, 1988

      22 "Drawing Inferences from Statistics Based on Multiyear Asset Returns Journal of Financial Economics 25" 323-348, 1989

      23 "Do Industries Explain Momentum?" 54 : 1249-1290, 1999

      24 "Credit Rationing with Moral Hazard and Mean Reversion" Yale University 1991

      25 "An Anatomy of Trading Strategies" 11 : 489-519, 1998

      26 "A Unified Theory of Underreaction and Overreaction in Asset Markets" 54 : 2143-2184, 1999

      27 "A Model of Investor Sentiment" 49 : 307-343, 1998

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2016 평가예정 계속평가 신청대상(신규평가)
      2009-01-01 평가 학술지 통합(기타)
      2007-01-01 평가 등재학술지 유지(등재유지) KCI등재
      2005-05-03 학술지등록 한글명 : 금융연구</br>외국어명 : Review of Financial Economics
      2004-01-01 평가 등재학술지 선정(등재후보2차) KCI등재
      2003-01-01 평가 등재후보 1차 PASS(등재후보1차) KCI등재후보
      2002-01-01 평가 등재후보 1차 FAIL(등재후보1차) KCI등재후보
      2000-07-01 평가 등재후보학술지 선정(신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.57 0.57 0.64
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.61 0.62 1.431 0.06
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