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The effect of quantitative easing on stock prices: a structural time series approach
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The effect of quantitative easing on stock prices: a structural time series approach (2018)The effect of quantitative easing on stoc…THE RELATIONSHIP BETWEEN INFLATION AND STOCK MARKET: EVIDENCE FROM MALAYSIA, UNITED STATES AND CHINA. (2011)THE RELATIONSHIP BETWEEN INFL…Causal relations among stock returns and macroeconomic variables in a small, open economy (1999)Causal relations among stock …Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyForecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The Relationship Between Stock Market Returns and Rates of Inflation (1979)The Relationship Between Stoc…The Journal of Financial Planning (1977)The Journal of Financial Plan…Asset returns and inflation (1977)Asset returns and inflationMoney and Stock Prices: The Channels of Influences (1972)Money and Stock Prices: The C…THE SUPPLY OF MONEY AND COMMON STOCK PRICES (1971)THE SUPPLY OF MONEY AND COMMO…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Macroeconomic variables and the Malaysian equity market (2003)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)What do we know about oil prices and stock returns? (2018)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)Efficient Capital Markets: II (1991)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)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)Moral Hazard and The US Stock Market: Analysing the ‘Greenspan Put' (2002)Macroeconomic Influence on the Stock Market: Evidence from an Emerging Market in South Asia (2004)Macroeconomic Factors and Stock Market Movement: Evidence from Ghana (2008)Statistical analysis of cointegration vectors (1988)INFLATION DYNAMICS ON THE OVERALL STOCK MARKET PERFORMANCE: The Case of Nairobi Securities Exchange in Kenya. (2013)Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets (2015)Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience (2017)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Combining forecasts: A review and annotated bibliography (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Stock prices and the effective exchange rate of the dollar (1992)MACRO ECONOMETRICS OF STOCK PRICE FLUCTUATIONS (1993)Economic variables and stock market returns: evidence from the Athens stock exchange (2006)The importance of nongovernmental organizations (NGOs) in global governance and value creation: an international business research agenda (2004)Factors Preventing Intra-Family Succession (2008)Financial Behaviors and Financial Well-Being of College Students: Evidence from a National Survey (2011)Determinants of Common Stock Prices: A Time Series Analysis (1977)The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching (2016)The impact of monetary policy on stock market performance: Evidence from twelve (12) African countries (2017)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)Introductory Econometrics for Finance (2008)
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References

  • 1995Comparing Predictive Accuracy5,370 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,148 cited
  • 1977Asset returns and inflation2,701 cited
  • 1977The Journal of Financial Planning433 cited
  • 1999Causal relations among stock returns and macroeconomic variables in a small, open economy289 cited
  • 1971THE SUPPLY OF MONEY AND COMMON STOCK PRICES173 cited
  • 1979The Relationship Between Stock Market Returns and Rates of Inflation125 cited
  • 2011THE RELATIONSHIP BETWEEN INFLATION AND STOCK MARKET: EVIDENCE FROM MALAYSIA, UNITED STATES AND CHINA.83 cited
  • 1972Money and Stock Prices: The Channels of Influences79 cited

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