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Sector Rotation and Monetary Conditions
13 references·3 citing·50 second hop
Sector Rotation and Monetary Conditions (2008)Sector Rotation and Monetary ConditionsWhat Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…More on Monetary Policy and Stock Price Returns (2005)More on Monetary Policy and S…Is Fed Policy Still Relevant for Investors? (2005)Is Fed Policy Still Relevant …Cross-Industry, Cross-Country Allocation (2002)Cross-Industry, Cross-Country…The Increasing Importance of Industry Factors (2000)The Increasing Importance of …The Profitability of Style Rotation Strategies in the United Kingdom (1999)The Profitability of Style Ro…Tests of the Market's Reaction to Federal Funds Rate Target Changes (1998)Tests of the Market's Reactio…Stock Return Predictability and The Role of Monetary Policy (1997)Stock Return Predictability a…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Business conditions, monetary policy, and expected security returns (1996)Business conditions, monetary…Discount rate changes and security returns in the U.S., 1962–1991 (1995)Discount rate changes and sec…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …The financial analysts journal (1960)The financial analysts journalThe effects of overnight events on daytime trading sessions (2022)The effects of overnight even…US Sector Rotation with Five-Factor Fama-French Alphas (2017)US Sector Rotation with Five-…Global Tactical Sector Allocation: A QuantitativeApproach (2011)Global Tactical Sector Alloca…The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Firm Size and Cyclical Variations in Stock Returns (2000)An Empirical Analysis of Stock and Bond Market Liquidity (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)The journal of financial economics (1993)Size and Book-to-Market Factors in Earnings and Returns (1995)Value versus Growth: The International Evidence (1998)Can mutual funds time investment styles? (2007)Predicting sovereign debt crises: An Early Warning System approach (2016)Stock Price Prediction Incorporating Market Style Clustering (2021)Dividend yields and expected stock returns (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Efficient use of commodity futures in diversified portfolios (2000)Reexamining Stock Valuation and Inflation: The Implications Of Analysts' Earnings Forecasts (2002)The impact of macroeconomic and non-macroeconomic forces on hotel stock returns (2004)Stock Prices and Economic News (1985)Stock Returns, Expected Returns, and Real Activity (1990)Monetary environments and international stock returns (1999)The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data (2008)The response of global equity indexes to U.S. monetary policy announcements (2008)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Measuring The Reaction of Monetary Policy to the Stock Market (2003)A note on the returns from minimum variance investing (2011)Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation (2019)Diversification and portfolio theory: a review (2020)Does the Stock Market Overreact? (1985)Financing Constraints and Corporate Investment (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Stocks May Disappoint (2000)Taking Stock: Monetary Policy Transmission to Equity Markets (2004)The Myth of Long-Horizon Predictability (2005)Market and Industry Factors in Stock Price Behavior (1966)Why Not Diversify Internationally Rather Than Domestically? (1974)The rise in comovement across national stock markets: market integration or IT bubble? (2004)Comovement in international equity markets: A sectoral view (2005)European banking: An overview (2007)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)Modelling the persistence of conditional variances (1986)First Impressions Matter: A Model of Confirmatory Bias (1999)Institutional Investors and Equity Prices (2001)
this work references cited by second hop

References

  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1960The financial analysts journal1,043 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 1997Stock Return Predictability and The Role of Monetary Policy541 cited
  • 2000The Increasing Importance of Industry Factors457 cited
  • 1996Business conditions, monetary policy, and expected security returns363 cited
  • 1995Discount rate changes and security returns in the U.S., 1962–1991175 cited
  • 2005More on Monetary Policy and Stock Price Returns135 cited
  • 1999The Profitability of Style Rotation Strategies in the United Kingdom87 cited
  • 1998Tests of the Market's Reaction to Federal Funds Rate Target Changes73 cited
  • 2005Is Fed Policy Still Relevant for Investors?52 cited
  • 2002Cross-Industry, Cross-Country Allocation49 cited

Cited by

  • 2022The effects of overnight events on daytime trading sessions22 cited
  • 2017US Sector Rotation with Five-Factor Fama-French Alphas19 cited

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2011
Global Tactical Sector Allocation: A QuantitativeApproach
18 cited