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Reexamining Stock Valuation and Inflation: The Implications of Analysts' Earnings Forecasts
16 references·0 citing·46 second hop
Reexamining Stock Valuation and Inflation: The Implications of Analysts' Earnings Forecasts (2001)Reexamining Stock Valuation and Inflation…The Econometrics of Financial Markets (2012)The Econometrics of Financial…What is the Intrinsic Value of the Dow? (1999)What is the Intrinsic Value o…Earnings and Expected Returns (1998)Earnings and Expected ReturnsAccounting valuation, market expectation, and cross-sectional stock returns (1998)Accounting valuation, market …On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Analyst Following of Initial Public Offerings (1997)Analyst Following of Initial …Expectations and the Cross-Section of Stock Returns (1996)Expectations and the Cross-Se…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…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 inflationCOMMON 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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)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)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)The Cross-Section of Expected Stock Returns (1992)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)Profitability, investment and average returns (2006)Replicating Anomalies (2018)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)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Good News for Value Stocks: Further Evidence on Market Efficiency (1997)Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Analyzing the Analysts: When Do Recommendations Add Value? (2004)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1998Accounting valuation, market expectation, and cross-sectional stock returns1,083 cited
  • 1996Expectations and the Cross-Section of Stock Returns982 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1999What is the Intrinsic Value of the Dow?716 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1997Analyst Following of Initial Public Offerings679 cited
  • 1998Earnings and Expected Returns

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