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Stock Returns, Inflation, and Real Activity in Canada
13 references·3 citing·36 second hop
Stock Returns, Inflation, and Real Activity in Canada (1988)Stock Returns, Inflation, and Real Activi…Stock Returns, Real Activity, Inflation, and Money: Comment (1983)Stock Returns, Real Activity,…Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System (1982)Small Sample Properties of Th…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…The Capital Formation Problem in the United States (1979)The Capital Formation Problem…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Asset returns and inflation (1977)Asset returns and inflationTHE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…Rational 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…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Money and Economic Growth (1965)Money and Economic GrowthInflation and Real Interest (1963)Inflation and Real InterestThe Term Structure and Real Activity in Canada (2021)The Term Structure and Real A…Can output explain the predictability and volatility of stock returns? (2002)Can output explain the predic…Stock returns and inflation: Further tests of the role of the central bank (1992)Stock returns and inflation: …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Decline of Inflation and the Bull Market of 1982-1999 (2002)Macro variables and international stock return predictability (2004)Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)Short- Term Interest Rates as Predictors of Inflation (2021)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)Time Series Analysis: Forecasting and Control (1977)Stock Market Returns and Inflation: Evidence from Other Countries (1983)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)Money-Wage Dynamics and Labor-Market Equilibrium (1968)Social Security, Induced Retirement, and Aggregate Capital Accumulation (1974)Some Unpleasant Monetarist Arithmetic (1984)Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)The Political Economy of Central Bank Independence (1995)The Term Structure of Real Rates and Expected Inflation (2007)Econometric Implications of the Rational Expectations Hypothesis (1980)Market Fundamentals versus Price-Level Bubbles: The First Tests (1980)The Formation of Expectations, Inflation, and the Phillips Curve (2018)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1965Money and Economic Growth1,671 cited
  • 1963Inflation and Real Interest720 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1976Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates428 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1982Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System241 cited
  • 1979The Capital Formation Problem in the United States134 cited
  • 1983Stock Returns, Real Activity, Inflation, and Money: Comment49 cited

Cited by

  • 2002Can output explain the predictability and volatility of stock returns?37 cited
  • 1992Stock returns and inflation: Further tests of the role of the central bank17 cited

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2021
The Term Structure and Real Activity in Canada
17 cited