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Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme
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Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme (2011)Makroekonomik Faktörlerin Hisse Senedi Ge…Econometric Analysis of Panel Data (2021)Econometric Analysis of Panel…Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)Relationship between Macroeco…Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic variables and t…Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Dynamic relationship between …A vector error correction model of the Singapore stock market (2000)A vector error correction mod…Emerging equity market volatility (1997)Emerging equity market volati…DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…Stock returns and inflation: A long-horizon perspective (1993)Stock returns and inflation: …Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Stock returns and inflation (1987)Stock returns and inflationEconomic Forces and the Stock Market (1986)Economic Forces and the Stock…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…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…COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…Döviz Kuru, Faiz Oranı ve Enflasyon İle BİST Tüm ve BİST Sektörel Endeksler Arasındaki İlişkinin Ampirik Analizi (2020)Döviz Kuru, Faiz Oranı ve Enf…Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-100 (2019)Macroeconomic Determinants of…Factors that Determine the Capital Structure: An Empirical Study on Low-cost Airlines (2018)Factors that Determine the Ca…Economic Effects in Islamic Stock Development of the European Countries (2018)Economic Effects in Islamic S…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Econometric Models for Count Data with an Application to the Patents-R&D Relationship (1984)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)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)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2008)Macroeconomics and Reality (1980)On Stock Market Returns and Monetary Policy (1997)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Statistical analysis of cointegration vectors (1988)Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets (2006)Dynamic relationship between exchange rate and stock price: Evidence from China (2009)Downside and upside risk spillovers between exchange rates and stock prices (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

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314 cited
  • 2003Macroeconomic variables and the Malaysian equity market248 cited
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    • 2019Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-10080 cited
    • 2018Economic Effects in Islamic Stock Development of the European Countries17 cited
    • 2018Factors that Determine the Capital Structure: An Empirical Study on Low-cost Airlines16 cited
    • 2020Döviz Kuru, Faiz Oranı ve Enflasyon İle BİST Tüm ve BİST Sektörel Endeksler Arasındaki İlişkinin Ampirik Analizi14 cited