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Effects of Macroeconomic Volatility on Stock Prices in Kenya: A Cointegration Evidence from the Nairobi Securities Exchange (NSE)
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Effects of Macroeconomic Volatility on Stock Prices in Kenya: A Cointegration Evidence from the Nairobi Securities Exchange (NSE) (2017)Effects of Macroeconomic Volatility on St…Impact of macroeconomic indicators on Indian capital markets (2011)Impact of macroeconomic indic…Introductory econometrics for finance. 2nd edition (2008)Introductory econometrics for…Time-varying market integration and expected returns in emerging markets (2005)Time-varying market integrati…Introductory Econometrics for Finance. (2003)Introductory Econometrics for…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Expected Returns and Volatility in 135 Countries (1996)Expected Returns and Volatili…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Country Risk and Global Equity Selection (1995)Country Risk and Global Equit…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Systematic risk, total risk and size as determinants of stock market returns (1986)Systematic risk, total risk a…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Misspecification of capital asset pricing (1981)Misspecification of capital a…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)Does the Stock Market Overreact? (1985)Illiquidity and stock returns: cross-section and time-series effects (2002)Statistical analysis of cointegration vectors (1988)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Efficient Capital Markets: II (1991)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Investor Attention and Stock Market Volatility (2014)Board diversity and firm performance: The Indonesian evidence (2011)Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries (2015)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)Multifactor Explanations of Asset Pricing Anomalies (1996)Time-Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Foreign Speculators and Emerging Equity Markets (2000)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1981Misspecification of capital asset pricing1,327 cited
  • 1995Predictable Risk and Returns in Emerging Markets1,152 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns826 cited
  • 2008Introductory econometrics for finance. 2nd edition469 cited
  • 1996Expected Returns and Volatility in 135 Countries346 cited
  • 1986Systematic risk, total risk and size as determinants of stock market returns291 cited
  • 2005Time-varying market integration and expected returns in emerging markets247 cited
  • 2003Introductory Econometrics for Finance.220 cited
  • 1995Country Risk and Global Equity Selection196 cited

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  • 2011Impact of macroeconomic indicators on Indian capital markets161 cited
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