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Stock Market Returns and Inflation Forecasts
15 references·16 citing·39 second hop
Stock Market Returns and Inflation Forecasts (1983)Stock Market Returns and Inflation Foreca…Stock Market Returns and Inflation: Evidence from Other Countries (1983)Stock Market Returns and Infl…The real interest rate: An empirical investigation (1981)The real interest rate: An em…The Real Interest Rate: An Empirical Investigation (1981)The Real Interest Rate: An Em…The Formation of Inflationary Expectations (1981)The Formation of Inflationary…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…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…Interest Rates and Inflationary Expectations: New Evidence (1972)Interest Rates and Inflationa…PRICE‐EXPECTATIONS EFFECTS ON INTEREST RATES (1970)PRICE‐EXPECTATIONS EFFECTS ON…Empirical Evidence on the Formation of Price Expectations (1970)Empirical Evidence on the For…Inflation and Real Interest (1963)Inflation and Real InterestInflation risk and stock returns: Evidence from US aggregate and sectoral markets (2023)Inflation risk and stock retu…High Inflation: Low Default Risk and Low Equity Valuations (2022)High Inflation: Low Default R…Are common stocks a hedge against inflation in emerging markets? (2018)Are common stocks a hedge aga…Inflation-Hedging Properties of Real Assets and Implications for Asset–Liability Management Decisions (2009)Inflation-Hedging Properties …Dynamic Interactions among the Stock Market, Federal Funds Rate, Inflation, and Economic Activity (2006)Dynamic Interactions among th…Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence (2005)Stock Returns and Expected Bu…Economic Activity, Inflation, and Hedging (2003)Economic Activity, Inflation,…Inflation Risk Analysis of European Real Estate Securities (2002)Inflation Risk Analysis of Eu…The Li vingston Survey: Still Useful Aft er All These Years (1997)The Li vingston Survey: Still…The Inflation-Hedging Properties of Risk Assets: The Case of REITs (1995)The Inflation-Hedging Propert…Seasonality and size effects: The case of real-estate-related investment (1990)Seasonality and size effects:…The Inflation-Hedging Effectiveness of Real Estate (1989)The Inflation-Hedging Effecti…The Response of Stock Prices to Changes in Weekly Money and the Discount Rate (1986)The Response of Stock Prices …Stock returns, inflationary expectations and real activity (1986)Stock returns, inflationary e…Stock Returns, Inflation, and Economic Activity: The Survey Evidence (1984)Stock Returns, Inflation, and…An Empirical Analysis of Expected Stock Price Movements (1984)An Empirical Analysis of Expe…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)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Stock prices, asset portfolios and macroeconomic variables in ten European countries (1989)Selecting macroeconomic variables as explanatory factors of emerging stock market returns (2001)Money Illusion and Housing Frenzies (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)Stock returns and inflation (1987)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Decline of Inflation and the Bull Market of 1982-1999 (2002)Macro variables and international stock return predictability (2004)Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)Short- Term Interest Rates as Predictors of Inflation (2021)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)Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)The Political Economy of Central Bank Independence (1995)The Term Structure of Real Rates and Expected Inflation (2007)Why Are Professional Forecasters Biased? Agency versus Behavioral Explanations (1996)Rational Bias in Macroeconomic Forecasts (1999)Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? (2008)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)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)The Relation Between Stock Prices and Inflationary Expectations: The International Evidence (1983)Asset Pricing and Expected Inflation (1986)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)
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References

  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 1963Inflation and Real Interest720 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1976The "Fisher Effect" for Risky Assets: An Empirical Investigation285 cited
  • 1981The Formation of Inflationary Expectations247 cited
  • 1970Empirical Evidence on the Formation of Price Expectations208 cited
  • 1981The Real Interest Rate: An Empirical Investigation206 cited
  • 1981The real interest rate: An empirical investigation171 cited
  • 1972Interest Rates and Inflationary Expectations: New Evidence151 cited
  • 1970PRICE‐EXPECTATIONS EFFECTS ON INTEREST RATES108 cited

Cited by

  • 1989The Inflation-Hedging Effectiveness of Real Estate

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130 cited
  • 1997The Li vingston Survey: Still Useful Aft er All These Years89 cited
  • 2003Economic Activity, Inflation, and Hedging82 cited
  • 1984An Empirical Analysis of Expected Stock Price Movements78 cited
  • 2022High Inflation: Low Default Risk and Low Equity Valuations66 cited
  • 1990Seasonality and size effects: The case of real-estate-related investment66 cited
  • 2009Inflation-Hedging Properties of Real Assets and Implications for Asset–Liability Management Decisions60 cited
  • 2006Dynamic Interactions among the Stock Market, Federal Funds Rate, Inflation, and Economic Activity55 cited
  • 1995The Inflation-Hedging Properties of Risk Assets: The Case of REITs51 cited
  • 2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence46 cited
  • 1986Stock returns, inflationary expectations and real activity43 cited
  • 2023Inflation risk and stock returns: Evidence from US aggregate and sectoral markets36 cited
  • 1984Stock Returns, Inflation, and Economic Activity: The Survey Evidence31 cited
  • 2002Inflation Risk Analysis of European Real Estate Securities31 cited
  • 1986The Response of Stock Prices to Changes in Weekly Money and the Discount Rate29 cited
  • 2018Are common stocks a hedge against inflation in emerging markets?15 cited