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Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation
5 references·1 citing·26 second hop
Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation (1991)Macroeconomic Forces, Systematic Risk, an…Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory (1988)Joint Estimation of Factor Se…THE ARBITRAGE PRICING THEORY AND MACROECONOMIC FACTOR MEASURES (1986)THE ARBITRAGE PRICING THEORY …Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering (1986)Estimation of Unobserved Expe…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…The impact of climate policy on heat and power capacity investment decisions (2006)The impact of climate policy …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Investment Under Uncertainty. (1994)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Industry costs of equity (1997)Asset Prices in an Exchange Economy (1978)Portfolio management with heuristic optimization (2005)Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China (2011)The COVID-19 storm and the energy sector: The impact and role of uncertainty (2021)The financial analysts journal (1960)Journal of monetary economics (1987)Estimation of Perceived Risk and Its Effect on Property Values (2001)Low-Frequency Movements in Stock Prices: A State-Space Decomposition (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Prediction of Systematic and Specific Risk in Common Stocks (1973)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)Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension (1982)Friction in the trading process and the estimation of systematic risk (1983)Specification Tests in Econometrics (1978)Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates (1988)Theory of Financial Decision Making. (1988)MACROECONOMIC FACTORS AND THE UK STOCK MARKET (1991)MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET (1994)
this work references cited by second hop

References

  • 1986Economic Forces and the Stock Market5,258 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 1988Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory187 cited
  • 1986THE ARBITRAGE PRICING THEORY AND MACROECONOMIC FACTOR MEASURES120 cited
  • 1986Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering75 cited

Cited by

  • 2006The impact of climate policy on heat and power capacity investment decisions19 cited

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