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Monetary Regimes and the Relation Between Stock Returns and Inflationary Expectations
15 references·16 citing·44 second hop
Monetary Regimes and the Relation Between Stock Returns and Inflationary Expectations (1990)Monetary Regimes and the Relation Between…The Predictive Power of the Term Structure During Recent Monetary Regimes (1988)The Predictive Power of the T…Stock returns and inflation (1987)Stock returns and inflationMonetary policy regime shifts and the unusual behavior of real interest rates (1986)Monetary policy regime shifts…Some Unpleasant Monetarist Arithmetic (1984)Some Unpleasant Monetarist Ar…A comparison of inflation forecasts (1984)A comparison of inflation for…The Relation Between Stock Prices and Inflationary Expectations: The International Evidence (1983)The Relation Between Stock Pr…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Market Returns and Inflation: Evidence from Other Countries (1983)Stock Market Returns and Infl…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…On the Determination of the Public Debt (1979)On the Determination of the P…Unanticipated Money, Output, and the Price Level in the United States (1978)Unanticipated Money, Output, …Asset returns and inflation (1977)Asset returns and inflationTHE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…Border disputes, conflicts, war, and financial markets research: A systematic review (2023)Border disputes, conflicts, w…Market capitalization: Pre and post COVID-19 analysis (2020)Market capitalization: Pre an…ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia (2012)ARDL bounds tests and robust …The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market (2010)The Effect of Macroeconomic V…Can common stocks provide a hedge against inflation? Evidence from African countries (2010)Can common stocks provide a h…Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis (2009)Stock returns and inflation r…Common Stocks as a Hedge Against Inflation: Evidence from Century-Long US Data (2009)Common Stocks as a Hedge Agai…The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach (2007)The Inflation Hedging Charact…Stock returns and inflation in Greece: A Markov switching approach (2005)Stock returns and inflation i…The stock return–inflation puzzle revisited (2002)The stock return–inflation pu…Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries (2000)Are common stocks a good hedg…Stock Returns and Inflation with Supply and Demand Disturbances (1999)Stock Returns and Inflation w…Market Timing and Short-Term Interest Rates (1997)Market Timing and Short-Term …Are stocks a hedge against inflation? International evidence using a long-run approach (1997)Are stocks a hedge against in…Inflation, real stock returns, and monetary policy (1996)Inflation, real stock returns…Relative Price Variability, Real Shocks, and the Stock Market (1990)Relative Price Variability, R…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Stock prices, asset portfolios and macroeconomic variables in ten European countries (1989)Selecting macroeconomic variables as explanatory factors of emerging stock market returns (2001)Money Illusion and Housing Frenzies (2007)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Optimal Taxation of Capital Income in General Equilibrium with Infinite Lives (1986)Elections and Macroeconomic Policy Cycles (1988)Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies (1991)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Forecasting stock market returns: The sum of the parts is more than the whole (2011)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Some International Evidence on Output-Inflation Tradeoffs. (1973)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rational expectations and the role of monetary policy (1976)Financial Structure and Aggregate Economic Activity: An Overview (1988)What have We Learnt from the Convergence Debate? (2003)Why Are Stabilizations Delayed?The monetary dynamics of hyperinflation (1956)Money and Economic Growth (1965)The Role of Monetary Policy (1995)Presidential Address: Discount Rates (2011)Economic Significance of Predictable Variations in Stock Index Returns (1989)Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns (1994)The Presidential Puzzle: Political Cycles and the Stock Market (2003)
this work references cited by second hop

References

  • 1979On the Determination of the Public Debt3,308 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1984Some Unpleasant Monetarist Arithmetic1,486 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1978Unanticipated Money, Output, and the Price Level in the United States668 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1987Stock returns and inflation426 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 1984A comparison of inflation forecasts380 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1983The Relation Between Stock Prices and Inflationary Expectations: The International Evidence207 cited
  • 1986Monetary policy regime shifts and the unusual behavior of real interest rates194 cited
  • 1988The Predictive Power of the Term Structure During Recent Monetary Regimes163 cited

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2007
The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach
154 cited
  • 1999Stock Returns and Inflation with Supply and Demand Disturbances151 cited
  • 1990Relative Price Variability, Real Shocks, and the Stock Market120 cited
  • 1997Are stocks a hedge against inflation? International evidence using a long-run approach106 cited
  • 2002The stock return–inflation puzzle revisited97 cited
  • 2009Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis90 cited
  • 2010The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market89 cited
  • 2023Border disputes, conflicts, war, and financial markets research: A systematic review75 cited
  • 2010Can common stocks provide a hedge against inflation? Evidence from African countries71 cited
  • 1996Inflation, real stock returns, and monetary policy65 cited
  • 2020Market capitalization: Pre and post COVID-19 analysis60 cited
  • 1997Market Timing and Short-Term Interest Rates54 cited
  • 2000Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries44 cited
  • 2012ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia42 cited
  • 2009Common Stocks as a Hedge Against Inflation: Evidence from Century-Long US Data42 cited
  • 2005Stock returns and inflation in Greece: A Markov switching approach41 cited