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Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market
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Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market (2014)Stock Returns Under High Inflation and In…Short- Term Interest Rates as Predictors of Inflation (2021)Short- Term Interest Rates as…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach (1998)Resolving the Puzzling Intert…The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited (1996)The Long-Run Relationship bet…Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns (1994)Time Variations and Covariati…Stock returns and inflation: A long-horizon perspective (1993)Stock returns and inflation: …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Economic Significance of Predictable Variations in Stock Index Returns (1989)Economic Significance of Pred…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Asset returns and inflation (1977)Asset returns and inflationThe "Fisher Effect" for Risky Assets: An Empirical Investigation (1976)The "Fisher Effect" for Risky…THE “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…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficiency of the Market for Single-Family Homes (1988)Business conditions and expected returns on stocks and bonds (1989)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)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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)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)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Causal Ordering and Identifiability (1977)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock Market Returns and Inflation: Evidence from Other Countries (1983)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)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)Macroeconomics and Reality (1980)On Stock Market Returns and Monetary Policy (1997)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Oil and the Macroeconomy since World War II (1983)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1977Asset returns and inflation2,701 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 2021Short- Term Interest Rates as Predictors of Inflation870 cited
  • 1989Economic Significance of Predictable Variations in Stock Index Returns597 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1994Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns494 cited
  • 1998Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach427 cited
  • 1993Stock returns and inflation: A long-horizon perspective426 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1996

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The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited
311 cited
  • 1976The "Fisher Effect" for Risky Assets: An Empirical Investigation285 cited
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