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Global economic activity as an explicator of emerging market equity returns
16 references·0 citing·34 second hop
Global economic activity as an explicator of emerging market equity returns (2015)Global economic activity as an explicator…Do global factors impact BRICS stock markets? A quantile regression approach (2014)Do global factors impact BRIC…Time-Varying Risk Premiums and the Output Gap (2008)Time-Varying Risk Premiums an…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Do the Fama–French Factors Proxy for Innovations in Predictive Variables? (2006)Do the Fama–French Factors Pr…News related to future GDP growth as a risk factor in equity returns (2003)News related to future GDP gr…Stock Return Predictability: Is it There? (2001)Stock Return Predictability: …Emerging equity market volatility (1997)Emerging equity market volati…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)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)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Tail Risk and Asset Prices (2014)The VIX, the variance premium and stock market volatility (2014)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Industry costs of equity (1997)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Political connections and the cost of equity capital (2012)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 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
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 2001Stock Return Predictability: Is it There?897 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1995The World Price of Foreign Exchange Risk765 cited
  • 2006Do the Fama–French Factors Proxy for Innovations in Predictive Variables?719 cited
  • 2003News related to future GDP growth as a risk factor in equity returns562 cited
  • 2008Time-Varying Risk Premiums and the Output Gap501 cited
  • 2014Do global factors impact BRICS stock markets? A quantile regression approach

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