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Market Timing and Short-Term Interest Rates
16 references·7 citing·34 second hop
Market Timing and Short-Term Interest Rates (1997)Market Timing and Short-Term Interest Rat…American Economic Review (2019)American Economic ReviewMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Trading on the Edge: Neural, Genetic, and Fuzzy Systems for Chaotic Financial Markets (1994)Trading on the Edge: Neural, …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Speculative Dynamics (1991)Speculative DynamicsMonetary Regimes and the Relation Between Stock Returns and Inflationary Expectations (1990)Monetary Regimes and the Rela…The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets (1989)The Time Variation of Risk an…The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets (1989)The Time Variation of Risk an…Changes in Expected Security Returns, Risk, and the Level of Interest Rates (1989)Changes in Expected Security …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…The Relation Between Stock Prices and Inflationary Expectations: The International Evidence (1983)The Relation Between Stock Pr…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Relative Shocks, Relative Price Variability, and Inflation (1981)Relative Shocks, Relative Pri…Asset returns and inflation (1977)Asset returns and inflationOn the effect of full-fledged IT adoption on stock returns and their conditional volatility: Evidence from propensity score matching (2021)On the effect of full-fledged…The Asymmetric Effects of Monetary Policy on Stock Market (2018)The Asymmetric Effects of Mon…ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET (2018)ASYMMETRY IN THE STOCK PRICE …THE RELATIONSHIP BETWEEN SHARE PRICES AND INTEREST RATES: EVIDENCE FROM KENYA (2014)THE RELATIONSHIP BETWEEN SHAR…Modeling the dynamics of Chinese spot interest rates (2009)Modeling the dynamics of Chin…Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes (2007)Equity-style timing: A multi-…Returns and Risk on Real Estate and Other Investments: More Evidence (2001)Returns and Risk on Real Esta…MONEY, 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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Tax and Spend, or Spend and Tax? (1986)Vector Autoregressions and Reality (1987)The Elusive Costs of Inflation: Price Dispersion during the U.S. Great Inflation* (2018)Asymmetric volatility transmission in international stock markets (1995)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)What good is a volatility model? (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Speculative Dynamics and the Role of Feedback Traders (1990)Booms and Busts in the UK Housing Market (1997)Behavioral heterogeneity in stock prices (2007)Upper Echelons: The Organization as a Reflection of Its Top Managers (1984)The Relational View: Cooperative Strategy and Sources of Interorganizational Competitive Advantage (1998)The Promise of Entrepreneurship as a Field of Research (2000)
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References

  • 2019American Economic Review10,902 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1991Speculative Dynamics486 cited
  • 1981Relative Shocks, Relative Price Variability, and Inflation343 cited
  • 1994Trading on the Edge: Neural, Genetic, and Fuzzy Systems for Chaotic Financial Markets261 cited
  • 1989Changes in Expected Security Returns, Risk, and the Level of Interest Rates247 cited
  • 1983The Relation Between Stock Prices and Inflationary Expectations: The International Evidence207 cited
  • 1989The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets185 cited
  • 1990Monetary Regimes and the Relation Between Stock Returns and Inflationary Expectations121 cited

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  • 1989The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets64 cited
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    • 2001Returns and Risk on Real Estate and Other Investments: More Evidence46 cited
    • 2007Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes39 cited
    • 2009Modeling the dynamics of Chinese spot interest rates29 cited
    • 2018ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET19 cited
    • 2021On the effect of full-fledged IT adoption on stock returns and their conditional volatility: Evidence from propensity score matching13 cited
    • 2014THE RELATIONSHIP BETWEEN SHARE PRICES AND INTEREST RATES: EVIDENCE FROM KENYA12 cited
    • 2018The Asymmetric Effects of Monetary Policy on Stock Market11 cited