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Stock prices, production and interest rates: Comparison of three European countries with the USA
16 references·3 citing·41 second hop
Stock prices, production and interest rates: Comparison of three European countries with the USA (1996)Stock prices, production and interest rat…American Economic Review (2019)American Economic ReviewCritical Values for Cointegration Tests (2010)Critical Values for Cointegra…Long-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Production-Based Asset Pricin…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Stock prices, asset portfolios and macroeconomic variables in ten European countries (1989)Stock prices, asset portfolio…What Moves Stock Prices? (1988)What Moves Stock Prices?Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Testing the Random Walk Hypothesis: Power versus Frequency of Observation (1985)Testing the Random Walk Hypot…Testing the random walk hypothesis (1985)Testing the random walk hypot…Stock Prices and Economic News (1985)Stock Prices and Economic NewsStock Prices and Economic News (1984)Stock Prices and Economic NewsStock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Forecasting in Business and Economics (1981)Forecasting in Business and E…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…US Stock Market And Macroeconomic Factors (2015)US Stock Market And Macroecon…Can output explain the predictability and volatility of stock returns? (2002)Can output explain the predic…Does the stock market still lead real activity? — An investigation for the G-7 countries (2001)Does the stock market still l…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)Asset Prices in an Exchange Economy (1978)Dividend yields and expected stock returns (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predictability of Stock Returns: Robustness and Economic Significance (1995)Organization Capital and the Cross‐Section of Expected Returns (2013)Choosing factors (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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 Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predictable Stock Returns: The Role of Small Sample Bias (1993)Stock Prices, News, and Business Conditions (1993)Firm Size and Cyclical Variations in Stock Returns (2000)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Estimating long-run relationships from dynamic heterogeneous panels (1995)The behavior of real exchange rates during the post-Bretton Woods period (1998)Tourism expansion and economic development: The case of Taiwan (2005)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)
this work references cited by second hop

References

  • 2019American Economic Review10,902 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1991Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations1,125 cited
  • 1993Long-Run Economic Relationships: Readings in Cointegration.925 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence733 cited
  • 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
  • 1985Stock Prices and Economic News420 cited
  • 1984Stock Prices and Economic News380 cited
  • 1985Testing the random walk hypothesis366 cited
  • 1989Stock prices, asset portfolios and macroeconomic variables in ten European countries267 cited
  • 1981Forecasting in Business and Economics220 cited

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Cited by

  • 2015US Stock Market And Macroeconomic Factors80 cited
  • 2002Can output explain the predictability and volatility of stock returns?37 cited
  • 2001Does the stock market still lead real activity? — An investigation for the G-7 countries28 cited