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Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets
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Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets (2021)Stock Returns and Inflation Redux: An Exp…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…Investor sentiment and stock returns: Some international evidence (2009)Investor sentiment and stock …Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Standard Errors for Pa…What Matters for Financial Development? Capital Controls, Institutions, and Interactions (2005)What Matters for Financial De…When it Rains, it Pours: Procyclical Capital Flows and Macroeconomic Policies (2004)When it Rains, it Pours: Proc…When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms (2003)When Does the Market Matter? …When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms (2002)When Does the Market Matter? …Dissecting the cycle: a methodological investigation (2002)Dissecting the cycle: a metho…Stock Market Openings: Experience of Emerging Economies (2000)Stock Market Openings: Experi…Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Asset returns and inflation (1977)Asset returns and inflationMONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Industry costs of equity (1997)The theory and practice of econometrics (1986)A panel project on purchasing power parity: Mean reversion within and between countries (1996)The overvaluation of purchasing power parity (1998)Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Effect of foreign direct investments, economic development and energy consumption on greenhouse gas emissions in developing countries (2018)Measuring Business Cycles (1947)King Charles I (1981)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Growth Dynamics: The Myth of Economic Recovery (2008)When Credit Bites Back (2013)How Regions React to Recessions: Resilience and the Role of Economic Structure (2016)Discretion versus policy rules in practice (1993)Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Tax base variability and procyclical fiscal policy in developing countries (2005)Overborrowing and Systemic Externalities in the Business Cycle (2011)Stories of the Twentieth Century for the Twenty-First (2012)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Specification Tests in Econometrics (1978)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Impacts of urbanization and industrialization on energy consumption/CO2 emissions: Does the level of development matter? (2015)Dynamic relationship among environmental regulation, innovation, CO2 emissions, population, and economic growth in OECD countries: A panel investigation (2019)Interpreting the macroeconomic time series facts (1992)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Macroeconomic Shocks and Their Propagation (2016)Uncertainty Shocks in a Model of Effective Demand (2017)Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020)Corporate financing and investment decisions when firms have information that investors do not have (1984)Financing Constraints and Corporate Investment (1988)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Financing Innovation and Growth: Cash Flow, External Equity, and the 1990s R&D Boom (2009)Corporate social responsibility and access to finance (2013)
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References

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  • 2000Stock Market Openings: Experience of Emerging Economies

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557 cited
  • 2002When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms504 cited
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