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Inflation news and stock returns: market direction and flow-through ability
16 references·0 citing·44 second hopsampled
Inflation news and stock returns: market direction and flow-through ability (2012)Inflation news and stock returns: market …The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…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 PRICES AND INFLATION (2001)STOCK PRICES AND INFLATIONStock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Using daily stock returns (1985)Using daily stock returnsThe Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…The Adjustment of Stock Prices to Information About Inflation (1981)The Adjustment of Stock Price…STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY (1981)STOCK PRICES, REAL ACTIVITY, …Inflation and the Stock Market (1978)Inflation and the Stock MarketAsset returns and inflation (1977)Asset returns and inflationCOMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…Expectations and the neutrality of money (1972)MONEY, INCOME, AND CAUSALITY (1972)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)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)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)Measuring the Term Structure of Interest Rates (1971)THE TAX‐ADJUSTED YIELD CURVE (1975)The Determinants of Credit Spread Changes (2001)Forecasting the Term Structure of Government Bond Yields (2003)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)An Intertemporal Capital Asset Pricing Model (1973)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)An Empirical Evaluation of Accounting Income Numbers (1968)Politically Connected Firms (2006)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)Corporate Social Responsibility and Shareholder Reaction: The Environmental Awareness of Investors (2012)Efficient Capital Markets: II (1991)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Investor Attention and Stock Market Volatility (2014)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)Discretion versus policy rules in practice (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)High-Frequency Trading and Price Discovery (2014)Economic Forces and the Stock Market (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)The empirical risk–return relation: A factor analysis approach☆ (2006)
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References

  • 1985Using daily stock returns6,887 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1977Asset returns and inflation2,706 cited
  • 1981STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY2,632 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,416 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
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION706 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1981The Adjustment of Stock Prices to Information About Inflation387 cited
  • 1978Inflation and the Stock Market330 cited
  • 2001

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STOCK PRICES AND INFLATION
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