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Stock returns and inflation: Further tests of the role of the central bank
15 references·3 citing·40 second hop
Stock returns and inflation: Further tests of the role of the central bank (1992)Stock returns and inflation: Further test…Monetary Regimes and the Relation Between Stock Returns and Inflationary Expectations (1990)Monetary Regimes and the Rela…The Borrowed-Reserves Operating Procedures: Theory and Evidence (1988)The Borrowed-Reserves Operati…Stock Returns, Inflation, and Real Activity in Canada (1988)Stock Returns, Inflation, and…Stock returns and inflation (1987)Stock returns and inflationOperating Procedures for Conducting Monetary Policy (1985)Operating Procedures for Cond…Inflation, Real Balances, Output, and Real Stock Returns [Stock Returns, Real Activity, Inflation, and Money] (1985)Inflation, Real Balances, Out…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Market Returns and Inflation: Evidence from Other Countries (1983)Stock Market Returns and Infl…A Rational Expectations Approach to Macroeconometrics (1983)A Rational Expectations Appro…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationThe "Fisher Effect" for Risky Assets: An Empirical Investigation (1976)The "Fisher Effect" for Risky…THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…INFLATION 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…The variability of inflation and real stock returns (2000)The variability of inflation …Stock returns and inflation: a new test of competing hypotheses (1999)Stock returns and inflation: …Stock returns and inflation: a macro analysis (1997)Stock returns and inflation: …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)Time Series Analysis Forecasting and Control. 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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)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Forecasting stock market returns: The sum of the parts is more than the whole (2011)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)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)Returns to contrarian investment strategies: Tests of naive expectations hypotheses (1997)Earnings-based and accrual-based market anomalies: one effect or two? (2000)Investor Sophistication and the Mispricing of Accruals (2003)The Relation Between Stock Prices and Inflationary Expectations: The International Evidence (1983)Asset Pricing and Expected Inflation (1986)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)
this work references cited by second hop

References

  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1987Stock returns and inflation426 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 1983A Rational Expectations Approach to Macroeconometrics399 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1976The "Fisher Effect" for Risky Assets: An Empirical Investigation285 cited
  • 1990Monetary Regimes and the Relation Between Stock Returns and Inflationary Expectations121 cited
  • 1985Operating Procedures for Conducting Monetary Policy64 cited
  • 1988The Borrowed-Reserves Operating Procedures: Theory and Evidence59 cited
  • 1988Stock Returns, Inflation, and Real Activity in Canada37 cited
  • 1985Inflation, Real Balances, Output, and Real Stock Returns [Stock Returns, Real Activity, Inflation, and Money]27 cited

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Cited by

  • 2000The variability of inflation and real stock returns30 cited
  • 1997Stock returns and inflation: a macro analysis29 cited
  • 1999Stock returns and inflation: a new test of competing hypotheses24 cited