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Examining Key Macroeconomic Factors Influencing the Stock Market Performance: Evidence from Tanzania
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Examining Key Macroeconomic Factors Influencing the Stock Market Performance: Evidence from Tanzania (2018)Examining Key Macroeconomic Factors Influ…Impact of macroeconomic indicators on Indian capital markets (2011)Impact of macroeconomic indic…Stock prices response to real economic variables: the case of Germany (2006)Stock prices response to real…Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic variables and t…Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis (2002)Currency Depreciation and Kor…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Stock return process and expected depreciation over the Asian financial crisis (2001)An Analytical Study of the Effect of Inflation on Stock Market Returns (2018)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Is the tourism‐led growth hypothesis stable for Malaysia? A note (2009)The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach (2012)Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets (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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data (2012)Macroeconomic indicators and their impact on stock markets in ASIAN 3: A pooled mean group approach (2018)Asset returns and inflation (1977)Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Expected Returns, and Real Activity (1990)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2003Macroeconomic variables and the Malaysian equity market248 cited
  • 2011Impact of macroeconomic indicators on Indian capital markets161 cited
  • 2002Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis31 cited
  • 2006Stock prices response to real economic variables: the case of Germany29 cited

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