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Impact of Macroeconomic Variables on Economic Performance: An Empirical Study of India and Sri Lanka
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Impact of Macroeconomic Variables on Economic Performance: An Empirical Study of India and Sri Lanka (2011)Impact of Macroeconomic Variables on Econ…DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH CO…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationINFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Asset Prices in an Exchange Economy (1978)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1986Economic Forces and the Stock Market5,258 cited
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  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1977Asset returns and inflation2,701 cited
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  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence733 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
  • 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW631 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited

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  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
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