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Impact of Macroeconomic Variables on the Stock Market Prices of the Stockholm Stock Exchange (OMXS30)
16 references·1 citing·38 second hop
Impact of Macroeconomic Variables on the Stock Market Prices of the Stockholm Stock Exchange (OMXS30) (2013)Impact of Macroeconomic Variables on the …ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES (1996)ON THE DYNAMIC RELATION BETWE…Business conditions, monetary policy, and expected security returns (1996)Business conditions, monetary…Stock prices and the effective exchange rate of the dollar (1992)Stock prices and the effectiv…The Stock Market and Investment (1990)The Stock Market and Investme…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…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…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Asset returns and inflation (1977)Asset returns and inflationA critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Capital Market Determinants and Market Capitalization in Nigeria (2019)Capital Market Determinants a…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Time Series Analysis: Forecasting and Control (1977)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)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1990The Stock Market and Investment691 cited
  • 1992Stock prices and the effective exchange rate of the dollar489 cited
  • 1996ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES427 cited

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  • 1996Business conditions, monetary policy, and expected security returns363 cited
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    • 2019Capital Market Determinants and Market Capitalization in Nigeria19 cited