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SENSIBILIDAD DE LOS RENDIMIENTOS SECTORIALES A TIPOS DE INTERÉS REALES E INFLACIÓN
16 references·1 citing·54 second hopsampled
SENSIBILIDAD DE LOS RENDIMIENTOS SECTORIALES A TIPOS DE INTERÉS REALES E INFLACIÓN (2006)SENSIBILIDAD DE LOS RENDIMIENTOS SECTORIA…The Stock Market's Reaction to Unemployment News: 'Why Bad News is Usually Good for Stocks' (2003)The Stock Market's Reaction t…Sources of Bank Interest Rate Risk (2002)Sources of Bank Interest Rate…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announ…STOCK PRICES AND INFLATION (2001)STOCK PRICES AND INFLATIONBANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE (1995)BANK EXPOSURE TO INTEREST RAT…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED (1990)INTEREST RATE CHANGES AND COM…New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)New Hope for the Expectations…Change in market assessments of deposit-institution riskiness (1988)Change in market assessments …The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)The Pricing of Interest-Rate …Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note (1985)Interest Rate Sensitivity in …EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS (1985)EXPECTATIONS, INTEREST RATES,…The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…The Adjustment of Stock Prices to Information About Inflation (1981)The Adjustment of Stock Price…An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach (1980)An Empirical Study of the Int…Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…Interest and Inflation Risk: Investor Behavior (2016)Interest and Inflation Risk: …The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Information in Long-Maturity Forward Rates (1987)Forward Discount Bias: Is it an Exchange Risk Premium? (1989)Macroeconomic forecasts and microeconomic forecasters (2002)The maturity of debt issues and predictable variation in bond returns (2003)Business performance and social media: Love or hate? (2014)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)The capital asset pricing model: Some empirical tests (1972)Change in Market Assessments of Deposit-Institution Riskiness (1988)REIT Characteristics and the Sensitivity of REIT Returns (2000)The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey (2011)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)Problems and Solutions in Conducting Event Studies (1990)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Stock Returns, Real Activity, Inflation, and Money (1981)Stock Prices and Economic News (1984)BUBBLES AND FADS IN ASSET PRICES (1989)Dynamic analysis between the US stock returns and the macroeconomic variables (2007)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)On Stock Market Returns and Monetary Policy (1997)Oil price shocks and stock market activity (1999)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Risk measurement when shares are subject to infrequent trading (1979)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe (2002)Does the stock market value bank diversification? (2007)A model of investor sentiment /Empirical exchange rate models of the seventies (1983)Discretion versus policy rules in practice (1993)Asset Prices and Exchange Rates (2007)Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices (2010)Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises (2016)Economic Forces and the Stock Market (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The stock–bond correlation and macroeconomic conditions: One and a half centuries of evidence (2008)Predictive Regressions with Time-Varying Coefficients (2009)News sentiment in the gold futures market (2014)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)An International Analysis of Earnings, Stock Prices and Bond Yields (2010)Are gold and silver a hedge against inflation? A two century perspective (2015)Do exchange rate changes have symmetric or asymmetric effects on stock prices? (2016)
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References

  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1981The Adjustment of Stock Prices to Information About Inflation387 cited
  • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange339 cited
  • 1989New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates336 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market283 cited
  • 2003The Stock Market's Reaction to Unemployment News: 'Why Bad News is Usually Good for Stocks'206 cited
  • 1980An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach175 cited
  • 2001STOCK PRICES AND INFLATION172 cited
  • 1988Change in market assessments of deposit-institution riskiness135 cited
  • 1990INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED133 cited
  • 1985Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note124 cited
  • 2002Sources of Bank Interest Rate Risk117 cited

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1995
BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE
106 cited
  • 1985EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS95 cited
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    • 2016Interest and Inflation Risk: Investor Behavior20 cited