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Pitfalls in estimates of the relationship between stock returns and inflation
16 references·0 citing·38 second hop
Pitfalls in estimates of the relationship between stock returns and inflation (2006)Pitfalls in estimates of the relationship…Animal spirits and the composition of innovation in a lab-equipment R&D model with transition (2012)Animal spirits and the compos…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Monitoring the world economy, 1820-1992 (1996)Monitoring the world economy,…International Historical Statistics (1993)International Historical Stat…Serial Correlation and the Fixed Effects Model (1982)Serial Correlation and the Fi…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…A History of Interest Rates. (1978)A History of Interest Rates.Asset returns and inflation (1977)Asset returns and inflationRational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates (1976)Rational Expectations and the…INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…European Historical Statistics 1750–1970 (1975)European Historical Statistic…Abstract of British Historical Statistics (1963)Abstract of British Historica…A history of interest rates (1963)A history of interest ratesThe Purchasing Power of Money. (1911)The Purchasing Power of Money.The purchasing power of money (1911)The purchasing power of moneyMONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing for unit roots in heterogeneous panels (2003)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)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)Estimation of Dynamic Models with Error Components (1981)Does public infrastructure affect economic activity? (2000)The Impact of Legalized Abortion on Crime (2001)Nonstationary panels, cointegration in panels and dynamic panels: A survey (2004)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Geography and Economic Development (1998)Reversal of Fortune: Geography and Institutions in the Making of the Modern World Income Distribution (2001)The World Economy (2001)A Supply-Side Reinterpretation of the "Secularization" of Europe (1994)Distinguished Lecture on Economics in Government: Big Bills Left on the Sidewalk: Why Some Nations are Rich, and Others Poor (1996)The Gold Standard as a “Good Housekeeping Seal of Approval” (1996)The Democratic Advantage: Institutional Foundations of Financial Power in International Competition (2003)Hamilton's Paradox: The Promise and Peril of Fiscal Federalism (2005)Before and Beyond Divergence (2011)Race and Regionalism in the Politics of Taxation in Brazil and South Africa (2003)Fascists (2004)The Consequences of Radical Reform: The French Revolution (2011)Wage indexation: A macroeconomic approach (1976)Monetary policy and asset prices (2002)Global Imbalances and the Financial Crisis: Link or No Link? (2011)
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References

  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1996Monitoring the world economy, 1820-19922,413 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1963Abstract of British Historical Statistics1,020 cited
  • 1982Serial Correlation and the Fixed Effects Model861 cited
  • 1911The purchasing power of money760 cited
  • 1963A history of interest rates619 cited
  • 1993International Historical Statistics617 cited
  • 1911The Purchasing Power of Money.597 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1978A History of Interest Rates.540 cited
  • 1975European Historical Statistics 1750–1970534 cited
  • 2012Animal spirits and the composition of innovation in a lab-equipment R&D model with transition476 cited
  • 1976Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates

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