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Macroeconomic Variables and South African Stock Return Predictability
16 references·5 citing·34 second hop
Macroeconomic Variables and South African Stock Return Predictability (2012)Macroeconomic Variables and South African…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…Predicting the Equity Premium with Dividend Ratios (2003)Predicting the Equity Premium…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Valuation Ratios and the Long-Run Stock Market Outlook (1998)Valuation Ratios and the Long…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyAn intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns (2020)Predictability of GCC stock r…Balance sheet changes and the impact of financial sector risk-taking on fiscal multipliers (2019)Balance sheet changes and the…The impact of inflation rate on stock market returns: evidence from Kenya (2018)The impact of inflation rate …A new GARCH model with higher moments for stock return predictability (2018)A new GARCH model with higher…Stock Market Volatility and Economic Growth in Nigeria (1980-2010) (2013)Stock Market Volatility and E…Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing the equality of prediction mean squared errors (1997)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

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  • 1994Comparing Predictive Accuracy5,495 cited
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  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
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  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • 1998Forecasting Economic Time Series863 cited
  • 1998Valuation Ratios and the Long-Run Stock Market Outlook788 cited
  • 2003Predicting the Equity Premium with Dividend Ratios

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  • 2020Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns120 cited
  • 2018A new GARCH model with higher moments for stock return predictability26 cited
  • 2013Stock Market Volatility and Economic Growth in Nigeria (1980-2010)25 cited
  • 2018The impact of inflation rate on stock market returns: evidence from Kenya24 cited
  • 2019Balance sheet changes and the impact of financial sector risk-taking on fiscal multipliers15 cited