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Stock Return Predictability: Is it There?
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Stock Return Predictability: Is it There? (2006)Stock Return Predictability: Is it There?Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…Predictive regressions (1999)Predictive regressionsTesting the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Dividend yields and expected stock returns (1988)Dividend yields and expected …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Asset returns and inflation (1977)Asset returns and inflationManager sentiment and stock returns (2018)Manager sentiment and stock r…Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Deep learning networks for st…The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Asset-Pricing Implication…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesInvestor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Sentiment Aligned: A…International Stock Return Predictability: What Is the Role of the United States? (2013)International Stock Return Pr…Forecasting Stock Returns (2013)Forecasting Stock ReturnsGlobal, local, and contagious investor sentiment (2011)Global, local, and contagious…Dating the timeline of financial bubbles during the subprime crisis (2011)Dating the timeline of financ…Investor sentiment and stock returns: Some international evidence (2009)Investor sentiment and stock …Striking oil: Another puzzle? (2008)Striking oil: Another puzzle?The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …Reconciling the Return Predictability Evidence (2007)Reconciling the Return Predic…Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Expected Return…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)Efficient Capital Markets: II (1991)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Investor Psychology and Asset Pricing (2001)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)The short of it: Investor sentiment and anomalies (2011)Discretion versus policy rules in practice (1993)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1999The Science of Monetary Policy: A New Keynesian Perspective4,927 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1977Asset returns and inflation2,701 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1999Predictive regressions1,614 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2002Regime Switches in Interest Rates854 cited

Cited by

  • 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty

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1,352 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 5001,123 cited
  • 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,081 cited
  • 2011Global, local, and contagious investor sentiment1,021 cited
  • 2009Investor sentiment and stock returns: Some international evidence880 cited
  • 2017Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies833 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 2014Tail Risk and Asset Prices788 cited
  • 2018Manager sentiment and stock returns733 cited
  • 2013International Stock Return Predictability: What Is the Role of the United States?702 cited
  • 2007Reconciling the Return Predictability Evidence701 cited
  • 2013Forecasting Stock Returns634 cited
  • 2008Striking oil: Another puzzle?616 cited
  • 2011Dating the timeline of financial bubbles during the subprime crisis586 cited