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STOCK RETURN AND MACROECONOMIC FUNDAMENTALS IN MODEL- SPECIFICATION FRAMEWORK : EVIDENCE FROM INDIAN STOCK MARKET
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STOCK RETURN AND MACROECONOMIC FUNDAMENTALS IN MODEL- SPECIFICATION FRAMEWORK : EVIDENCE FROM INDIAN STOCK MARKET (2003)STOCK RETURN AND MACROECONOMIC FUNDAMENTA…The portfolio flows of international investors (2001)The portfolio flows of intern…A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines (1997)Exchange rate and stock price…A test for independence based on the correlation dimension (1996)A test for independence based…Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection (1994)Testing for a Unit Root in Ti…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China (2016)Effect Of Macroeconomic Varia…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (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)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Asset Prices in an Exchange Economy (1978)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Continuous Auctions and Insider Trading (1985)The impact of institutional trading on stock prices (1992)Mutual Fund Herding and the Impact on Stock Prices (1999)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Style investing (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)International Technology Diffusion (2004)Energy consumption, income, and carbon emissions in the United States (2006)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
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References

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  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited

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  • 1997Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines466 cited
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    • 2016Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China59 cited