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International Investment and Interest Rate Linkages under Flexible Exchange Rates
16 references·12 citing·32 second hop
International Investment and Interest Rate Linkages under Flexible Exchange Rates (1977)International Investment and Interest Rat…Nonmarketable assets and capital market equilibrium under uncertainty (2016)Nonmarketable assets and capi…The Review of Economics and Statistics (1997)The Review of Economics and S…The Demand for Index Bonds (1975)The Demand for Index BondsNational Monetary Policies and the International Financial System (1975)National Monetary Policies an…Covered Interest Arbitrage: Unexploited Profits? (1975)Covered Interest Arbitrage: U…International capital market equilibrium with investment barriers (1974)International capital market …An equilibrium model of the international capital market (1974)An equilibrium model of the i…The Interest Rate Parity Theorem: A Reinterpretation (1973)The Interest Rate Parity Theo…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Theoretical Notes on Trade Problems (1964)Theoretical Notes on Trade Pr…The Purchasing-Power Parity Doctrine: A Reappraisal (1964)The Purchasing-Power Parity D…Money, Bonds, and Foreign Exchange (2016)Money, Bonds, and Foreign Exc…Real financial market exchange rates and capital flows (2015)Real financial market exchang…Multiple maturities and time-varying risk premia in forward exchange markets (1991)Multiple maturities and time-…An empirical inquiry into the nature of the forward exchange rate bias (1991)An empirical inquiry into the…The pricing of forward exchange rates (1989)The pricing of forward exchan…Exchange rate variability and asset trade (1989)Exchange rate variability and…Empirical Assessment of Foreign Currency Risk Premiums (1989)Empirical Assessment of Forei…Tests of the foreign exchange risk premium using the expected second moments implied by option pricing (1988)Tests of the foreign exchange…Exchange rate variability and monetary policy under rational expectations (1983)Exchange rate variability and…Currency Substitution, Postal Strikes, and Canadian Money Demand (1983)Currency Substitution, Postal…An Investigation of Risk and Return in Forward Foreign Exchange (1983)An Investigation of Risk and …The forward exchange rate and macroeconomics (1982)The forward exchange rate and…Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)The Purchasing Power Parity Puzzle (1996)Was Weber Wrong? A Human Capital Theory of Protestant Economic History * (2009)The Next Generation of the Penn World Table (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Economic Growth in a Cross Section of Countries (1989)Empirical Tests of the Consumption‐Oriented CAPM (1989)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Taming the Factor Zoo: A Test of New Factors (2020)Performance in Competitive Environments: Gender Differences (2003)The Labor Demand Curve is Downward Sloping: Reexamining the Impact of Immigration on the Labor Market (2003)Employment Fluctuations with Equilibrium Wage Stickiness (2005)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1964The Purchasing-Power Parity Doctrine: A Reappraisal3,198 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1964Theoretical Notes on Trade Problems2,449 cited
  • 1997The Review of Economics and Statistics1,541 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1973Studies in the Theory of Capital Markets.737 cited
  • 1974International capital market equilibrium with investment barriers551 cited
  • 1975Covered Interest Arbitrage: Unexploited Profits?429 cited
  • 1973The Interest Rate Parity Theorem: A Reinterpretation327 cited
  • 1975The Demand for Index Bonds298 cited
  • 1975National Monetary Policies and the International Financial System183 cited
  • 2016Nonmarketable assets and capital market equilibrium under uncertainty

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178 cited

Cited by

  • 2016Money, Bonds, and Foreign Exchange123 cited
  • 1983An Investigation of Risk and Return in Forward Foreign Exchange52 cited
  • 1989Exchange rate variability and asset trade48 cited
  • 1988Tests of the foreign exchange risk premium using the expected second moments implied by option pricing38 cited
  • 1983Exchange rate variability and monetary policy under rational expectations36 cited
  • 1989The pricing of forward exchange rates35 cited
  • 2015Real financial market exchange rates and capital flows32 cited
  • 1989Empirical Assessment of Foreign Currency Risk Premiums27 cited
  • 1983Currency Substitution, Postal Strikes, and Canadian Money Demand24 cited
  • 1982The forward exchange rate and macroeconomics23 cited
  • 1991Multiple maturities and time-varying risk premia in forward exchange markets17 cited
  • 1991An empirical inquiry into the nature of the forward exchange rate bias16 cited