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Stock prices response to real economic variables: the case of Germany
11 references·1 citing·39 second hop
Stock prices response to real economic variables: the case of Germany (2006)Stock prices response to real economic va…Rationality of Negative Stock-Price Responses to Strong Economic Activity (1997)Rationality of Negative Stock…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Stock returns and inflation (1987)Stock returns and inflationStock Prices and Economic News (1985)Stock Prices and Economic NewsStock Prices and Economic News (1984)Stock Prices and Economic NewsA comparison of inflation forecasts (1984)A comparison of inflation for…The 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 Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationExamining Key Macroeconomic Factors Influencing the Stock Market Performance: Evidence from Tanzania (2018)Examining Key Macroeconomic F…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests (1999)Predictive regressions with time-varying coefficients (2012)Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)The Adjustment of Stock Prices to New Information (1969)Day of the Week Effects and Asset Returns (1981)Business conditions, monetary policy, and expected security returns (1996)The Adjustment of Stock Prices to New Information (2003)Investor sentiment and the stock market’s reaction to monetary policy (2009)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)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)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)Oil price shocks and stock market activity (1999)Foundations of Finance. (1977)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The Pricing of Exchange Rate Risk in the Stock Market (1991)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Estimating betas from nonsynchronous data (1977)BUBBLES AND FADS IN ASSET PRICES (1989)Dynamic analysis between the US stock returns and the macroeconomic variables (2007)Asset Prices in an Exchange Economy (1978)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)Economic Significance of Predictable Variations in Stock Index Returns (1989)Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns (1994)The Presidential Puzzle: Political Cycles and the Stock Market (2003)Macro variables and international stock return predictability (2004)
this work references cited by second hop

References

  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 1987Stock returns and inflation426 cited
  • 1985Stock Prices and Economic News420 cited
  • 1981The Adjustment of Stock Prices to Information About Inflation387 cited
  • 1984A comparison of inflation forecasts380 cited
  • 1984Stock Prices and Economic News380 cited
  • 1997Rationality of Negative Stock-Price Responses to Strong Economic Activity35 cited

Cited by

  • 2018Examining Key Macroeconomic Factors Influencing the Stock Market Performance: Evidence from Tanzania13 cited

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