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The variability of inflation and real stock returns
16 references·2 citing·39 second hop
The variability of inflation and real stock returns (2000)The variability of inflation and real sto…Stock prices, news, and business conditions (1993)Stock prices, news, and busin…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Inflation Regimes and the Sources of Inflation Uncertainty (1993)Inflation Regimes and the Sou…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Stock returns and inflation (1987)Stock returns and inflationGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…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…Estimates of the Variance of U. S. Inflation Based upon the ARCH Model (1983)Estimates of the Variance of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Autoregressive modelling and money-income causality detection (1981)Autoregressive modelling and …Nobel Lecture: Inflation and Unemployment (1977)Nobel Lecture: Inflation and …Asset returns and inflation (1977)Asset returns and inflationINFLATION 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…Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case (2008)Explanatory factors of the in…Stock returns and expected inflation: evidence from an asymmetric test specification (2007)Stock returns and expected in…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests (1999)Predictive regressions with time-varying coefficients (2012)Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Macroeconomics and Reality (1980)A note on the causal relationship between energy and GDP in Taiwan (2000)DOES FOREIGN DIRECT INVESTMENT PROMOTE ECONOMIC GROWTH? EVIDENCE FROM EAST ASIA AND LATIN AMERICA (2001)Causal Relationship between Energy Consumption and GDP Growth Revisited: A Dynamic Panel Data Approach (2008)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Some International Evidence on Output-Inflation Tradeoffs. (1973)Anticipated inflation and the capital stock in a cash in-advance economy (1981)An empirical analysis of cross-national economic growth, 1951–1980 (1989)The Role of Monetary Policy (1995)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1977Nobel Lecture: Inflation and Unemployment1,800 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1981Autoregressive modelling and money-income causality detection710 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model462 cited
  • 1987Stock returns and inflation426 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 1993Inflation Regimes and the Sources of Inflation Uncertainty219 cited

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1993
Stock prices, news, and business conditions
153 cited

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  • 2007Stock returns and expected inflation: evidence from an asymmetric test specification29 cited
  • 2008Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case27 cited