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Price Inflation, Portfolio Choice, and Nominal Interest Rates
16 references·7 citing·34 second hop
Price Inflation, Portfolio Choice, and Nominal Interest Rates (1978)Price Inflation, Portfolio Choice, and No…Board of Governors of the Federal Reserve System (2001)Board of Governors of the Fed…Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates (1976)Rational Expectations and the…COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…THE FINANCIAL AND TAX EFFECTS OF MONETARY POLICY ON INTEREST RATES (1975)THE FINANCIAL AND TAX EFFECTS…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)"Rational" Expectations, the …Rational Expectations, the Real Rate of Interest, and the Natural Rate of Unemployment (1973)Rational Expectations, the Re…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …A General Equilibrium Approach To Monetary Theory (1969)A General Equilibrium Approac…Pitfalls in Financial Model-Building (1968)Pitfalls in Financial Model-B…Money and Economic Growth (1965)Money and Economic GrowthInflation and Real Interest (1963)Inflation and Real InterestRational Expectations and the Theory of Price Movements (1961)Rational Expectations and the…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money (1958)An Exact Consumption-Loan Mod…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Fisher effect in a signal extraction framework The recent Brazilian experience (1993)The Fisher effect in a signal…Taxation, inflation, and interest rates (1985)Taxation, inflation, and inte…Homeownership Returns, Tenure Choice and Inflation (1985)Homeownership Returns, Tenure…Inflation and corporate financial management (1984)Inflation and corporate finan…The Determinants of the Treasury Security Yield Curve (1981)The Determinants of the Treas…Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive (1979)Investors' Portfolio Behavior…WHO PUTS THE INFLATION PREMIUM INTO NOMINAL INTEREST RATES? (1978)WHO PUTS THE INFLATION PREMIU…Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)Some International Evidence on Output-Inflation Tradeoffs. (1973)Macroeconomics and Reality (1980)Staggered prices in a utility-maximizing framework (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Analysis of Economic Time-Series-Part I: Prices (1953)Optimal Properties of Exponentially Weighted Forecasts (1960)The Economic Implications of Learning by Doing (1971)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Asset Prices in an Exchange Economy (1978)Information Technology and the U.S. Economy (2001)Nursery Cities: Urban Diversity, Process Innovation, and the Life Cycle of Products (2001)Does female representation in top management improve firm performance? A panel data investigation (2012)Social Security, Induced Retirement, and Aggregate Capital Accumulation (1974)Noise Trader Risk in Financial Markets (1990)Asset pricing with liquidity risk (2005)Money-Wage Dynamics and Labor-Market Equilibrium (1968)Some Unpleasant Monetarist Arithmetic (1984)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)A Demand System Approach to Asset Pricing (2018)Does Climate Change Affect Real Estate Prices? Only If You Believe In It (2018)The Economic Impacts of COVID-19: Evidence from a New Public Database Built Using Private Sector Data (2020)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1961Rational Expectations and the Theory of Price Movements5,639 cited
  • 1969A General Equilibrium Approach To Monetary Theory5,340 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1958An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money3,538 cited
  • 1975"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule2,172 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1965Money and Economic Growth1,671 cited
  • 2001Board of Governors of the Federal Reserve System1,130 cited
  • 1968Pitfalls in Financial Model-Building1,042 cited
  • 1963Inflation and Real Interest720 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1973Rational Expectations, the Real Rate of Interest, and the Natural Rate of Unemployment533 cited
  • 1976Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates428 cited

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1975
THE FINANCIAL AND TAX EFFECTS OF MONETARY POLICY ON INTEREST RATES
361 cited

Cited by

  • 1985Homeownership Returns, Tenure Choice and Inflation80 cited
  • 1981The Determinants of the Treasury Security Yield Curve32 cited
  • 1978WHO PUTS THE INFLATION PREMIUM INTO NOMINAL INTEREST RATES?30 cited
  • 1979Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive29 cited
  • 1993The Fisher effect in a signal extraction framework The recent Brazilian experience28 cited
  • 1984Inflation and corporate financial management23 cited
  • 1985Taxation, inflation, and interest rates14 cited