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Can common stocks provide a hedge against inflation? Evidence from African countries
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Can common stocks provide a hedge against inflation? Evidence from African countries (2010)Can common stocks provide a hedge against…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Interest and Prices (2004)Interest and PricesSome tests for parameter constancy in cointegrated VAR‐models (1999)Some tests for parameter cons…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Is the Real Interest Rate Stable? (1988)Is the Real Interest Rate Sta…ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH CO…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Inflation, real returns and capital investment (1982)Inflation, real returns and c…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 inflationINFLATION 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…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)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)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)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Bounds testing approaches to the analysis of level relationships (2001)Aggregate Dynamics and Staggered Contracts (1980)Optimal monetary policy with staggered wage and price contracts (2000)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)A model of unconventional monetary policy (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 2004Interest and Prices2,583 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW631 cited
  • 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1988Is the Real Interest Rate Stable?489 cited
  • 1982Inflation, real returns and capital investment

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