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Inflation risk and international asset returns
16 references·3 citing·38 second hopsampled
Inflation risk and international asset returns (2009)Inflation risk and international asset re…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International Asset Pricing a…The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Intertemporal Asset Pricing Without Consumption Data (1992)Intertemporal Asset Pricing W…The World Price of Covariance Risk (1991)The World Price of Covariance…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Economic 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…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…A model of international asset pricing (1981)A model of international asse…Asset returns and inflation (1977)Asset returns and inflationAn equilibrium model of the international capital market (1974)An equilibrium model of the i…Portfolio management with stochastic interest rates and inflation ambiguity (2013)Portfolio management with sto…International variations in expected equity premia: Role of financial architecture and governance (2011)International variations in e…Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics (2006)Macroeconomic News, Announcem…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)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)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate Simultaneous Generalized ARCH (1995)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)The Behavior of Stock-Market Prices (1965)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)Expectations and Exchange Rate Dynamics (1976)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Empirical exchange rate models of the seventies (1983)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)The New Politics of the Welfare State (2001)The Cross‐Section of Volatility and Expected Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 1977Asset returns and inflation2,701 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1992Intertemporal Asset Pricing Without Consumption Data954 cited
  • 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited

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1981
A model of international asset pricing
807 cited

Cited by

  • 2013Portfolio management with stochastic interest rates and inflation ambiguity58 cited
  • 2006Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics35 cited
  • 2011International variations in expected equity premia: Role of financial architecture and governance28 cited