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Macroeconomic Factors and International Industry Returns
16 references·0 citing·32 second hopsampled
Macroeconomic Factors and International Industry Returns (2001)Macroeconomic Factors and International I…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…Sources of risk and expected returns in global equity markets (1994)Sources of risk and expected …The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Predictable Stock Returns in …Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …The World Price of Covariance Risk (1991)The World Price of Covariance…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An exploratory investigation of the firm size effect (1985)An exploratory investigation …Stock Market Returns and Inflation: Evidence from Other Countries (1983)Stock Market Returns and Infl…Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Market and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…Portfolio Selection: Efficient Diversification of Investments (1959)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**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)Common risk factors in the returns on stocks and bonds (1993)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)Diversification, Ricardian Rents, and Tobin's q (1988)The Event Study Methodology Since 1969 (1998)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)A Theory of the Term Structure of Interest Rates (1985)Predictable Risk and Returns in Emerging Markets (1994)Market Integration and Contagion (2005)Asset Prices in an Exchange Economy (1978)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)A New Approach to Measuring Financial Contagion (2000)International Liquidity and Exchange Rate Dynamics * (2015)On Persistence in Mutual Fund Performance (1997)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1995The World Price of Foreign Exchange Risk765 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1992Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration512 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited

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  • 1994Sources of risk and expected returns in global equity markets331 cited
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