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Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID ‐19 pandemic matter?
16 references·0 citing·37 second hop
Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID ‐19 pandemic matter? (2020)Testing the nexus between stock market re…Modelling environmental degradation in South Africa: the effects of energy consumption, democracy, and globalization using innovation accounting tests (2020)Modelling environmental degra…Economic Impacts of Wuhan 2019-nCoV on China and the World (2020)Economic Impacts of Wuhan 201…Assessment of the role of renewable energy consumption and trade policy on environmental degradation using innovation accounting: Evidence from the US (2020)Assessment of the role of ren…The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach (2015)The Causal Relationship Betwe…Reexamining Stock Valuation and Inflation: The Implications Of Analysts' Earnings Forecasts (2002)Reexamining Stock Valuation a…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …Forecasting stock market volatility using (non-linear) Garch models (1996)Forecasting stock market vola…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Macroeconomics and Reality (1980)Macroeconomics and RealityInflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Asset returns and inflation (1977)Asset returns and inflationINFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Stock returns and inflation (1987)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Returns and Inflation: Evidence from Other Countries (1983)Forecasting stock market returns: The sum of the parts is more than the whole (2011)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Econometric Analysis of Cross Section and Panel Data (2001)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)Modeling the price dynamics of CO2 emission allowances (2008)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Forecasting Stock Returns (2013)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
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  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
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  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 2020Economic Impacts of Wuhan 2019-nCoV on China and the World507 cited
  • 1996Forecasting stock market volatility using (non-linear) Garch models394 cited
  • 2020Assessment of the role of renewable energy consumption and trade policy on environmental degradation using innovation accounting: Evidence from the US264 cited
  • 2015The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach261 cited
  • 2002

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Reexamining Stock Valuation and Inflation: The Implications Of Analysts' Earnings Forecasts
209 cited
  • 2020Modelling environmental degradation in South Africa: the effects of energy consumption, democracy, and globalization using innovation accounting tests135 cited
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