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Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries
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Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries (2018)Do Stock Markets Lead or Lag Macroeconomi…Identifying the interdependence between US monetary policy and the stock market (2008)Identifying the interdependen…Dealing with Structural Breaks (2005)Dealing with Structural BreaksCritical values for multiple structural change tests (2003)Critical values for multiple …Evolving Post-World War II U.S. Inflation Dynamics (2001)Evolving Post-World War II U.…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Estimation of a Change Point in Multiple Regression Models (1997)Estimation of a Change Point …The Financial Accelerator and the Flight to Quality (1996)The Financial Accelerator and…DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…New Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Macroeconomics and finance: The role of the stock market (1984)Macroeconomics and finance: T…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…The Investment, Financing, and Valuation of the Corporation. 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(2002)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Has Monetary Policy Become More Effective? (2006)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)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Measuring the Output Responses to Fiscal Policy (2012)Modelling structural breaks, long memory and stock market volatility: an overview (2004)Inequality and Unsustainable Growth: Two Sides of the Same Coin? (2017)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996The Financial Accelerator and the Flight to Quality2,351 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
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  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 2003Critical values for multiple structural change tests860 cited
  • 1997Estimation of a Change Point in Multiple Regression Models829 cited
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  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1963The Investment, Financing, and Valuation of the Corporation.483 cited
  • 2008Identifying the interdependence between US monetary policy and the stock market

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  • 1984Macroeconomics and finance: The role of the stock market360 cited
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