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Short Rates and Expected Asset Returns
16 references·8 citing·35 second hop
Short Rates and Expected Asset Returns (1990)Short Rates and Expected Asset ReturnsSpeculative Dynamics (1991)Speculative DynamicsForward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…An empirical investigation of the long-run behavior of real exchange rates (1987)An empirical investigation of…Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations (1986)Using Survey Data to Test Sta…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…The Persistence of Volatility and Stock Market Fluctuations (1984)The Persistence of Volatility…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…Dividend variability and variance bounds tests for the rationality of stock market prices (1983)Dividend variability and vari…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …Asset returns and inflation (1977)Asset returns and inflationTesting the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations (2006)Testing the uncovered interes…Rational Inattention: A Solution to the Forward Discount Puzzle (2005)Rational Inattention: A Solut…Rational Inattention: A Solution to the Forward Discount Puzzle (2005)Rational Inattention: A Solut…Uncovered interest parity and the USD/COP exchange rate (2003)Uncovered interest parity and…Testing for Forward-Rate Unbiasedness: On Regression in Levels and in Returns (2003)Testing for Forward-Rate Unbi…Testing for long horizon UIP using PPP-based exchange rate expectations (2001)Testing for long horizon UIP …Time-Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesis (2000)Time-Variation and Structural…World wide security market regularities (1994)World wide security market re…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Common risk factors in the returns on stocks and bonds (1993)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)A five-factor asset pricing model (2014)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Long memory processes and fractional integration in econometrics (1996)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Business conditions and expected returns on stocks and bonds (1989)ARCH modeling in finance (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)The Economics of Exchange Rates (2003)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
this work references cited by second hop

References

  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1977Asset returns and inflation2,701 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1991Speculative Dynamics486 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1983Dividend variability and variance bounds tests for the rationality of stock market prices435 cited
  • 1986Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations432 cited
  • 1987An empirical investigation of the long-run behavior of real exchange rates395 cited

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1984
The Persistence of Volatility and Stock Market Fluctuations
386 cited

Cited by

  • 2005Rational Inattention: A Solution to the Forward Discount Puzzle58 cited
  • 1994World wide security market regularities49 cited
  • 2003Testing for Forward-Rate Unbiasedness: On Regression in Levels and in Returns38 cited
  • 2005Rational Inattention: A Solution to the Forward Discount Puzzle31 cited
  • 2001Testing for long horizon UIP using PPP-based exchange rate expectations30 cited
  • 2006Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations28 cited
  • 2003Uncovered interest parity and the USD/COP exchange rate19 cited
  • 2000Time-Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesis19 cited