SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The relationship between stock returns and inflation: new evidence from wavelet analysis
9 references·16 citing·44 second hop
The relationship between stock returns and inflation: new evidence from wavelet analysis (2004)The relationship between stock returns an…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…Inflation and asset returns (1999)Inflation and asset returnsThe 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…Stocks, bonds, bills, and inflation yearbook (1993)Stocks, bonds, bills, and inf…Stock returns and inflation: A long-horizon perspective (1993)Stock returns and inflation: …Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationCOMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…The Relationship between Cryptocurrencies and COVID-19 Pandemic (2020)The Relationship between Cryp…Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains (2018)Multi-scale interactions betw…Causal structure among US corn futures and regional cash prices in the time and frequency domain (2018)Causal structure among US cor…Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis (2017)Intraday price information fl…Multiscale correlation networks analysis of the US stock market: a wavelet analysis (2016)Multiscale correlation networ…Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets (2015)Impact of financial market un…Gold, Oil, and Stocks: Dynamic Correlations (2015)Gold, Oil, and Stocks: Dynami…Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index (2014)Linkages and co-movement betw…Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)Does Gold Glitter in the Long…Wavelet-based evidence of the impact of oil prices on stock returns (2013)Wavelet-based evidence of the…A wavelet decomposition approach to crude oil price and exchange rate dependence (2013)A wavelet decomposition appro…The Co‐movement Dynamics of European Frontier Stock Markets (2012)The Co‐movement Dynamics of E…De-noising option prices with the wavelet method (2012)De-noising option prices with…The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market (2010)The Effect of Macroeconomic V…Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)Macro economy, stock market a…Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM (2010)Combined DEMATEL technique wi…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Stock returns and inflation (1987)Why Does Stock Market Volatility Change Over Time? (1989)On the Risk of Stocks in the Long Run (1995)The Decline of Inflation and the Bull Market of 1982-1999 (2002)Money Illusion and Housing Frenzies (2007)Short- Term Interest Rates as Predictors of Inflation (2021)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Economic Forces and the Stock Market (1986)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Quantile dependence of oil price movements and stock returns (2015)What do we know about oil prices and stock returns? (2018)The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach (2019)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)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)The contribution of wavelets to the analysis of economic and financial data (1999)Oil and the macroeconomy: using wavelets to analyze old issues (2010)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Does gold or Bitcoin hedge economic policy uncertainty? (2019)Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties (2021)Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic? (2022)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)The Search for the Best Financial Performance Measure (1997)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)
this work references cited by second hop

References

  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1993Stock returns and inflation: A long-horizon perspective426 cited
  • 1993Stocks, bonds, bills, and inflation yearbook379 cited
  • 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income370 cited
  • 1998DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS347 cited
  • 1999Inflation and asset returns132 cited

Cited by

  • 2014Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon297 cited
  • 2013Wavelet-based evidence of the impact of oil prices on stock returns271 cited
  • 2010Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?259 cited
  • 2013A wavelet decomposition approach to crude oil price and exchange rate dependence254 cited
  • 2020The Relationship between Cryptocurrencies and COVID-19 Pandemic199 cited
  • 2010

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM
173 cited
  • 2015Gold, Oil, and Stocks: Dynamic Correlations139 cited
  • 2014Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index120 cited
  • 2018Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains119 cited
  • 2017Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis115 cited
  • 2012The Co‐movement Dynamics of European Frontier Stock Markets113 cited
  • 2018Causal structure among US corn futures and regional cash prices in the time and frequency domain102 cited
  • 2015Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets95 cited
  • 2016Multiscale correlation networks analysis of the US stock market: a wavelet analysis90 cited
  • 2010The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market89 cited
  • 2012De-noising option prices with the wavelet method86 cited