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Discussion of What Do Management Earnings Forecasts Convey About the Macroeconomy?
16 references·0 citing·42 second hopsampled
Discussion of What Do Management Earnings Forecasts Convey About the Macroeconomy? (2013)Discussion of What Do Management Earnings…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance (2006)Does earnings guidance affect…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…Stock returns, aggregate earnings surprises, and behavioral finance (2005)Stock returns, aggregate earn…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Chapter 1 Business cycle fluctuations in us macroeconomic time series (1999)Chapter 1 Business cycle fluc…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Prices and Economic News (1985)Stock Prices and Economic NewsThe Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Asset returns and inflation (1977)Asset returns and inflationCAPITAL 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)An Intertemporal Capital Asset Pricing Model (1973)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Book Review: Time Series Analysis: Forecasting and Control (1977)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)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Chapter 18 A survey of behavioral finance (2003)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Permanent and Temporary Components of Stock Prices (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)Efficient Capital Markets: II (1991)Investor Attention and Stock Market Volatility (2014)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)High-Frequency Trading and Price Discovery (2014)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)
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References

  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1977Asset returns and inflation2,706 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,416 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns826 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 1999Chapter 1 Business cycle fluctuations in us macroeconomic time series519 cited
  • 2006Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance435 cited
  • 1985Stock Prices and Economic News

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420 cited
  • 2005Stock returns, aggregate earnings surprises, and behavioral finance398 cited
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