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On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis
16 references·5 citing·43 second hop
On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis (2005)On the relationship between changes in st…Systematic risk and timescales (2003)Systematic risk and timescalesAn Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…The contribution of wavelets to the analysis of economic and financial data (1999)The contribution of wavelets …An Investigation of the Risk and Return Relation at Long Horizons (1999)An Investigation of the Risk …The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income (1998)The Decomposition of Economic…DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS (1998)DECOMPOSITION OF ECONOMIC REL…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Stock prices and bond yields (1992)Stock prices and bond yieldsStock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models? (1990)Stock Prices and Bond Yields:…Economic Significance of Predictable Variations in Stock Index Returns (1989)Economic Significance of Pred…Changes in Expected Security Returns, Risk, and the Level of Interest Rates (1989)Changes in Expected Security …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Asset returns and inflation (1977)Asset returns and inflationHouse price information flows among some major Chinese cities: linear and nonlinear causality in time and frequency domains (2022)House price information flows…On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons (2020)On the investors' sentiments …Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets (2019)Global financial crisis and m…Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis (2015)Interdependence between the b…Comovement between stock and bond markets and the ‘flight-to-quality’ during financial market turmoil – a case of the Eurozone countries most affected by the sovereign debt crisis of 2010–2011 (2012)Comovement between stock and …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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stock Returns, Real Activity, Inflation, and Money (1981)Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? (1999)Spurious Regressions in Financial Economics? (2003)New evidence on oil price and firm returns (2011)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Adjustment of Consumption to Changing Expectations About Future Income (1981)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Oil and the macroeconomy: using wavelets to analyze old issues (2010)Wavelet-based evidence of the impact of oil prices on stock returns (2013)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Asset Prices in an Exchange Economy (1978)Economic Forces and the Stock Market (1986)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Predictable Stock Returns: The Role of Small Sample Bias (1993)Stock Prices, News, and Business Conditions (1993)Firm Size and Cyclical Variations in Stock Returns (2000)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Household Risk Management and Optimal Mortgage Choice (2003)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)International comovement of stock market returns: A wavelet analysis (2009)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Multiscale systematic risk (2004)A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)
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References

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194 cited
  • 1999An Investigation of the Risk and Return Relation at Long Horizons188 cited
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    • 2022House price information flows among some major Chinese cities: linear and nonlinear causality in time and frequency domains80 cited
    • 2012Comovement between stock and bond markets and the ‘flight-to-quality’ during financial market turmoil – a case of the Eurozone countries most affected by the sovereign debt crisis of 2010–201129 cited
    • 2015Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis27 cited
    • 2019Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets27 cited
    • 2020On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons22 cited