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Stock Returns and Inflation with Supply and Demand Disturbances
16 references·16 citing·44 second hopsampled
Stock Returns and Inflation with Supply and Demand Disturbances (1999)Stock Returns and Inflation with Supply a…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock prices, earnings, and expected dividends (1988)Stock prices, earnings, and e…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Stock returns and inflation (1987)Stock returns and inflationThe Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Market Returns and Inflation: Evidence from Other Countries (1983)Stock Market Returns and Infl…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Formulating and estimating dynamic linear rational expectations models (1980)Formulating and estimating dy…Asset returns and inflation (1977)Asset returns and inflationThe "Fisher Effect" for Risky Assets: An Empirical Investigation (1976)The "Fisher Effect" for Risky…THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…High Inflation: Low Default Risk and Low Equity Valuations (2022)High Inflation: Low Default R…Has the correlation of inflation and stock prices changed in the United States over the last two centuries? (2017)Has the correlation of inflat…Macro variables and the components of stock returns (2015)Macro variables and the compo…Interest Rate Risk and the Cross Section of Stock Returns (2014)Interest Rate Risk and the Cr…Can institutions and macroeconomic factors predict stock returns in emerging markets? (2014)Can institutions and macroeco…The effects of terrorism and war on the oil price–stock index relationship (2013)The effects of terrorism and …HOW DO INTERNATIONAL STOCK MARKETS RESPOND TO OIL DEMAND AND SUPPLY SHOCKS? (2013)HOW DO INTERNATIONAL STOCK MA…TERRORISM AND THE RETURNS TO OIL (2009)TERRORISM AND THE RETURNS TO …Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis (2009)Stock returns and inflation r…STOCK MARKET REACTION TO GOOD AND BAD INFLATION NEWS (2008)STOCK MARKET REACTION TO GOOD…Fiscal policy and asset markets: A semiparametric analysis (2008)Fiscal policy and asset marke…Time-Series Behavior of Share Repurchases and Dividends (2007)Time-Series Behavior of Share…House Prices, Fundamentals and Bubbles (2006)House Prices, Fundamentals an…Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy (2003)Vector Autoregressions, Polic…The effects of macroeconomic shocks on sector-specific returns (2003)The effects of macroeconomic …The Association between Changes in Interest Rates, Earnings, and Equity Values* (2003)The Association between Chang…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)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)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Virtual currency, tangible return: Portfolio diversification with bitcoin (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)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)The Solution of Linear Difference Models under Rational Expectations (1980)On the Limitations of Government Borrowing: A Framework for Empirical Testing (1985)Rational-expectations econometric analysis of changes in regime (1988)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Presidential Address: Discount Rates (2011)
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References

  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1980Formulating and estimating dynamic linear rational expectations models877 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1988Stock prices, earnings, and expected dividends567 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1987Stock returns and inflation426 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited

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1976
The "Fisher Effect" for Risky Assets: An Empirical Investigation
285 cited

Cited by

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  • 2013HOW DO INTERNATIONAL STOCK MARKETS RESPOND TO OIL DEMAND AND SUPPLY SHOCKS?87 cited
  • 2008Fiscal policy and asset markets: A semiparametric analysis82 cited
  • 2017Has the correlation of inflation and stock prices changed in the United States over the last two centuries?76 cited
  • 2003Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy74 cited
  • 2014Can institutions and macroeconomic factors predict stock returns in emerging markets?72 cited
  • 2003The effects of macroeconomic shocks on sector-specific returns68 cited
  • 2022High Inflation: Low Default Risk and Low Equity Valuations66 cited
  • 2015Macro variables and the components of stock returns58 cited
  • 2003The Association between Changes in Interest Rates, Earnings, and Equity Values*56 cited
  • 2009TERRORISM AND THE RETURNS TO OIL54 cited
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