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Effects of Exchange Rate Volatility on the Stock Market: A Case Study of South Africa
16 references·0 citing·31 second hop
Effects of Exchange Rate Volatility on the Stock Market: A Case Study of South Africa (2013)Effects of Exchange Rate Volatility on th…Introductory Econometrics for Finance (2008)Introductory Econometrics for…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Stock Market Development and Long-Run Growth (1996)Stock Market Development and …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…The Economics of Money, Banking and Financial Markets (1986)The Economics of Money, Banki…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The relationship between return and market value of common stocks (1981)The relationship between retu…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric Analysis of Cross Section and Panel Data (2001)Oil prices and the stock prices of alternative energy companies (2007)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)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)Financial Intermediation and Delegated Monitoring (1984)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Impact of ESG factors on firm risk in Europe (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Predictability of Stock Returns: Robustness and Economic Significance (1995)Toward a Comparative Institutional Analysis (2002)Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy (2016)Illiquidity and stock returns: cross-section and time-series effects (2002)
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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
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2008Introductory Econometrics for Finance3,662 cited
  • 1986The Economics of Money, Banking and Financial Markets2,292 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 1996Stock Market Development and Long-Run Growth1,108 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns

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