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Stock returns and inflation: a macro analysis
16 references·3 citing·46 second hop
Stock returns and inflation: a macro analysis (1997)Stock returns and inflation: a macro anal…The Economics of Exchange Rates (2003)The Economics of Exchange Rat…Stock returns and inflation: A long-horizon perspective (1993)Stock returns and inflation: …Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Stock returns and inflation (1987)Stock returns and inflationUnemployment in Britain (1986)Unemployment in BritainThe 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…Does Anticipated Monetary Policy Matter? An Econometric Investigation (1982)Does Anticipated Monetary Pol…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Does Anticipated Monetary Policy Matter? An Econometric Investigation (1980)Does Anticipated Monetary Pol…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…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…Macroeconomic uncertainty and conditional stock‐price volatility in frontier African markets (2009)Macroeconomic uncertainty and…Fundamental share prices and aggregate real output (2004)Fundamental share prices and …Macroeconomic influences on optimal asset allocation (2002)Macroeconomic influences on o…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)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)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)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)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)Econometric Methods for the Duration of Unemployment (1979)Equilibrium Unemployment as a Worker Discipline Device (1986)ACTIVE LABOUR MARKET POLICY AND UNEMPLOYMENT - A FRAMEWORK FOR THE ANALYSIS OF CRUCIAL DESIGN FEATURES (1994)Gross worker and job flows in Europe (1994)An Introduction to the Wage Curve (1995)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)Expectations and Exchange Rate Dynamics (1976)Empirical exchange rate models of the seventies (1983)Order Flow and Exchange Rate Dynamics (1999)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Firm-Specific Assets and the Link Between Exchange Rates and Foreign Direct Investment (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)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)
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References

  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1986Unemployment in Britain641 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1987Stock returns and inflation426 cited
  • 1993Stock returns and inflation: A long-horizon perspective426 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1982Does Anticipated Monetary Policy Matter? An Econometric Investigation316 cited
  • 1980Does Anticipated Monetary Policy Matter? An Econometric Investigation289 cited
  • 1976The "Fisher Effect" for Risky Assets: An Empirical Investigation

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  • 2009Macroeconomic uncertainty and conditional stock‐price volatility in frontier African markets55 cited
  • 2004Fundamental share prices and aggregate real output27 cited
  • 2002Macroeconomic influences on optimal asset allocation22 cited