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Inflation Illusion and Stock Prices
16 references·10 citing·38 second hop
Inflation Illusion and Stock Prices (2004)Inflation Illusion and Stock PricesShort- Term Interest Rates as Predictors of Inflation (2021)Short- Term Interest Rates as…Time-varying risk aversion and unexpected inflation (2003)Time-varying risk aversion an…The Decline of Inflation and the Bull Market of 1982-1999 (2002)The Decline of Inflation and …What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Stock returns and inflation: A long-horizon perspective (1993)Stock returns and inflation: …What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1991)What Moves the Stock and Bond…Term-structure forecasts of interest rates, inflation and real returns (1990)Term-structure forecasts of i…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …A Variance Decomposition for Stock Returns (1990)A Variance Decomposition for …The Information in the Longer Maturity Term Structure about Future Inflation (1989)The Information in the Longer…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Asset returns and inflation (1977)Asset returns and inflationThe Investment, Financing, and Valuation of the Corporation. (1963)The Investment, Financing, an…The Investment, Financing, and Valuation of the Corporation (1963)The Investment, Financing, an…The Debt-Inflation Channel of the German Hyperinflation (2023)The Debt-Inflation Channel of…Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets (2021)Stock Returns and Inflation R…Cryptocurrency and Stock Market: Complements or Substitutes? (2020)Cryptocurrency and Stock Mark…Comparison between Islamic and General Equity Funds of Pakistan: Difference in Their Performances and Fund Flow Volatility (2015)Comparison between Islamic an…THE LONG-RUN RELATIONSHIP BETWEEN INFLATION AND REAL STOCK PRICES: EMPIRICAL EVIDENCE FROM SOUTH AFRICA (2012)THE LONG-RUN RELATIONSHIP BET…Inflation and Stock Prices: No Illusion (2010)Inflation and Stock Prices: N…Do Long-Term Investors Care About Inflation? (2010)Do Long-Term Investors Care A…Inflation, Monetary Policy and Stock Market Conditions (2008)Inflation, Monetary Policy an…Monetary Policy and Stock Market Booms and Busts in the 20th Century (2007)Monetary Policy and Stock Mar…The Term Structure of the Risk-Return Tradeoff (2005)The Term Structure of the Ris…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficiency of the Market for Single-Family Homes (1988)Trends and random walks in macroeconmic time series (1982)Dividend yields and expected stock returns (1988)Business conditions and expected returns on stocks and bonds (1989)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)Household Risk Management and Optimal Mortgage Choice (2003)The Term Structure of Real Rates and Expected Inflation (2007)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)Intrinsic Bubbles: The Case of Stock Prices (1989)Movements in the Equity Premium (1993)The Finite Horizon Expected Return Model (1997)
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References

  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1977Asset returns and inflation2,701 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 2021Short- Term Interest Rates as Predictors of Inflation870 cited
  • 1963The Investment, Financing, and Valuation of the Corporation.483 cited
  • 1990Term-structure forecasts of interest rates, inflation and real returns444 cited
  • 1993Stock returns and inflation: A long-horizon perspective426 cited
  • 1991What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns400 cited
  • 2002The Decline of Inflation and the Bull Market of 1982-1999340 cited
  • 2003Time-varying risk aversion and unexpected inflation318 cited
  • 1990A Variance Decomposition for Stock Returns266 cited

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  • 1989The Information in the Longer Maturity Term Structure about Future Inflation256 cited
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    • 2005The Term Structure of the Risk-Return Tradeoff50 cited
    • 2008Inflation, Monetary Policy and Stock Market Conditions36 cited
    • 2010Inflation and Stock Prices: No Illusion28 cited
    • 2021Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets24 cited
    • 2020Cryptocurrency and Stock Market: Complements or Substitutes?22 cited
    • 2015Comparison between Islamic and General Equity Funds of Pakistan: Difference in Their Performances and Fund Flow Volatility19 cited
    • 2012THE LONG-RUN RELATIONSHIP BETWEEN INFLATION AND REAL STOCK PRICES: EMPIRICAL EVIDENCE FROM SOUTH AFRICA15 cited
    • 2007Monetary Policy and Stock Market Booms and Busts in the 20th Century15 cited
    • 2023The Debt-Inflation Channel of the German Hyperinflation11 cited
    • 2010Do Long-Term Investors Care About Inflation?1 cited