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A Scorecard for Indexed Government Debt
16 references·16 citing·42 second hopsampled
A Scorecard for Indexed Government Debt (1996)A Scorecard for Indexed Government DebtStocks for the Long Run (1994)Stocks for the Long RunWhat Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Understanding Risk and Return (1993)Understanding Risk and ReturnThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1991)What Moves the Stock and Bond…MONEY AND THE MECHANISM OF EXCHANGE (1989)MONEY AND THE MECHANISM OF EX…Empirical Tests of the Consumption‐Oriented CAPM (1989)Empirical Tests of the Consum…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…A Positive Theory of Monetary Policy in a Natural Rate Model (1983)A Positive Theory of Monetary…Credit Rationing in Markets with Imperfect Information (1981)Credit Rationing in Markets w…A Positive Theory of Monetary Policy in a Natural-Rate Model (1981)A Positive Theory of Monetary…A Modigliani-Miller Theorem for Open-Market Operations (1979)A Modigliani-Miller Theorem f…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Economic Report of the President. (1955)The Economic Report of the Pr…ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW (2018)ESTIMATING INFLATION RISK PRE…Price Pressures in the UK Index-Linked Market: An Empirical Investigation (2014)Price Pressures in the UK Ind…The Microstructure of the TIPS Market (2011)The Microstructure of the TIP…Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity (2011)Return Predictability in the …Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity (2011)Return Predictability in the …Inflation-Indexed Bonds and the Expectations Hypothesis (2011)Inflation-Indexed Bonds and t…Public Debt Management In Emerging Market Economies : Has This Time Been Different ? (2010)Public Debt Management In Eme…The Microstructure of the TIPS Market (2009)The Microstructure of the TIP…The "Growing Pains" of TIPS Issuance (2008)The "Growing Pains" of TIPS I…An Estimate of the Inflation Risk Premium Using a Three-Factor Affine Term Structure Model (2006)An Estimate of the Inflation …Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from Tips (2005)Inflation, Fisher Equation, a…Expected Inflation and TIPS (2004)Expected Inflation and TIPSAre TIPS the “real” deal?: A conditional assessment of their role in a nominal portfolio (2004)Are TIPS the “real” deal?: A …The Information Content of the Inflation Term Structure (1998)The Information Content of th…Real interest rates and central bank operating procedures (1998)Real interest rates and centr…A Core of Macroeconomic Beliefs? (1997)A Core of Macroeconomic Belie…Increases in risk and in risk aversion (1974)Risk Sharing and Incentives in the Principal and Agent Relationship (1979)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Financial Dependence and Growth (1996)Trends and random walks in macroeconomic time series (1988)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The real term structure and consumption growth (1988)Empirical pricing kernels (2002)A Consumption‐Based Explanation of Expected Stock Returns (2006)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)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)Common risk factors in the returns on stocks and bonds (1993)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Household Risk Management and Optimal Mortgage Choice (2003)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Some International Evidence on Output-Inflation Tradeoffs. (1973)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules, discretion and reputation in a model of monetary policy (1983)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)The Science of Monetary Policy: A New Keynesian Perspective (1999)Varieties of Capitalism (2001)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1981Credit Rationing in Markets with Imperfect Information12,762 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1983A Positive Theory of Monetary Policy in a Natural Rate Model2,212 cited
  • 1981A Positive Theory of Monetary Policy in a Natural-Rate Model2,177 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 1989Empirical Tests of the Consumption‐Oriented CAPM705 cited
  • 1989MONEY AND THE MECHANISM OF EXCHANGE692 cited
  • 1955The Economic Report of the President.665 cited
  • 1994Stocks for the Long Run567 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1979A Modigliani-Miller Theorem for Open-Market Operations476 cited
  • 1991What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

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  • 1997A Core of Macroeconomic Beliefs?26 cited
  • 2010Public Debt Management In Emerging Market Economies : Has This Time Been Different ?26 cited
  • 1998The Information Content of the Inflation Term Structure25 cited
  • 2005Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from Tips25 cited
  • 1998Real interest rates and central bank operating procedures23 cited
  • 2008The "Growing Pains" of TIPS Issuance23 cited
  • 2006An Estimate of the Inflation Risk Premium Using a Three-Factor Affine Term Structure Model23 cited
  • 2014Price Pressures in the UK Index-Linked Market: An Empirical Investigation23 cited
  • 2004Expected Inflation and TIPS19 cited
  • 2018ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW18 cited