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Macroeconomic Factors Do Influence Aggregate Stock Returns
16 references·16 citing·39 second hopsampled
Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Influence Aggreg…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…5 Stochastic volatility (1996)5 Stochastic volatilityStock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Intertemporal asset pricing (1990)Intertemporal asset pricingWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Time-varying conditional covariances in tests of asset pricing models (1989)Time-varying conditional cova…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…What Moves Stock Prices? (1988)What Moves Stock Prices?Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…What Triggers Stock Market Jumps? (2021)What Triggers Stock Market Ju…When no news is good news – The decrease in investor fear after the FOMC announcement (2016)When no news is good news – T…US Stock Market And Macroeconomic Factors (2015)US Stock Market And Macroecon…Macro variables and the components of stock returns (2015)Macro variables and the compo…Macroeconomic Consequences of Accounting: The Effect of Accounting Conservatism on Macroeconomic Indicators and the Money Supply (2014)Macroeconomic Consequences of…Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China (2011)Effect Of Macroeconomic Varia…Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations? (2010)Expected inflation, expected …The Determinants of Stock and Bond Return Comovements (2009)The Determinants of Stock and…Monetary Shocks and REIT Returns (2006)Monetary Shocks and REIT Retu…Does Earnings Guidance Affect Market Returns? The Nature and Information Content of Aggregate Earnings Guidance (2006)Does Earnings Guidance Affect…Trading around macroeconomic announcements: Are all traders created equal? (2005)Trading around macroeconomic …Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2005)Real-Time Price Discovery in …Option volume and volatility response to scheduled economic news releases (2003)Option volume and volatility …Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announ…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)Financial Intermediation and Delegated Monitoring (1984)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)The Economic Value of Volatility Timing (2001)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Theory of rational option pricing (2005)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)A Monetary History of the United States, 1867-1960 (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting Volatility in Financial Markets: A Review (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 19965 Stochastic volatility1,189 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1989Time-varying conditional covariances in tests of asset pricing models851 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence733 cited
  • 1993Stock Prices, News, and Business Conditions675 cited

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  • 1990Intertemporal asset pricing598 cited
  • Cited by

    • 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets208 cited
    • 2009The Determinants of Stock and Bond Return Comovements193 cited
    • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission139 cited
    • 2006Does Earnings Guidance Affect Market Returns? The Nature and Information Content of Aggregate Earnings Guidance111 cited
    • 2006Monetary Shocks and REIT Returns106 cited
    • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange101 cited
    • 2021What Triggers Stock Market Jumps?100 cited
    • 2011Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China98 cited
    • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission85 cited
    • 2015US Stock Market And Macroeconomic Factors80 cited
    • 2003Option volume and volatility response to scheduled economic news releases62 cited
    • 2015Macro variables and the components of stock returns58 cited
    • 2010Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?56 cited
    • 2016When no news is good news – The decrease in investor fear after the FOMC announcement56 cited
    • 2005Trading around macroeconomic announcements: Are all traders created equal?51 cited
    • 2014Macroeconomic Consequences of Accounting: The Effect of Accounting Conservatism on Macroeconomic Indicators and the Money Supply48 cited