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The "Fisher Effect" for Risky Assets: An Empirical Investigation
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The "Fisher Effect" for Risky Assets: An Empirical Investigation (1976)The "Fisher Effect" for Risky Assets: An …Are gold and silver a hedge against inflation? A two century perspective (2015)Are gold and silver a hedge a…Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)Macro economy, stock market a…The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach (2007)The Inflation Hedging Charact…Economic variables and stock market returns: evidence from the Athens stock exchange (2006)Economic variables and stock …STOCK PRICES AND INFLATION (2001)STOCK PRICES AND INFLATIONMacro shocks and real stock prices (2001)Macro shocks and real stock p…Inflation and rates of return on stocks: evidence from high inflation countries (2001)Inflation and rates of return…An I(2) analysis of inflation and the markup (2001)An I(2) analysis of inflation…Stock Returns and Inflation with Supply and Demand Disturbances (1999)Stock Returns and Inflation w…International Evidence on Real Estate Securities as an Inflation Hedge (1997)International Evidence on Rea…Are REITs inflation hedges? (1990)Are REITs inflation hedges?Asset Pricing and Expected Inflation (1986)Asset Pricing and Expected In…The Relation Between Stock Prices and Inflationary Expectations: The International Evidence (1983)The Relation Between Stock Pr…The Reaction of Stock Prices to Unanticipated Changes in Money: A Note (1983)The Reaction of Stock Prices …Effects of Nominal Contracting on Stock Returns (1983)Effects of Nominal Contractin…The Relationship Between Stock Market Returns and Rates of Inflation (1979)The Relationship Between Stoc…Asset returns and inflation (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns, Real Activity, Inflation, and Money (1981)Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model (1991)Stock market and aggregate economic activity: evidence from Australia (2004)The Poor Predictive Performance of Asset Pricing Models (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest (2017)Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model (2019)COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)House Prices, Fundamentals and Bubbles (2006)Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis (2009)The effects of terrorism and war on the oil price–stock index relationship (2013)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Reassessing the role of precious metals as safe havens–What colour is your haven and why? (2017)Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle (2022)Socio-Economic Impacts and Challenges of the Coronavirus Pandemic (COVID-19): An Updated Review (2022)Econometric policy evaluation: A critique (1976)Inflation, Rational Valuation and the Market (1979)Asset Returns, Discount Rate Changes, and Market Efficiency (1985)Response of Hourly Stock Prices and Trading Volume to Economic News (1988)Time Series Analysis: Forecasting and Control (1977)Interest rates and risk premia in the stock market and in the foreign exchange market (1987)Dynamic analysis between the US stock returns and the macroeconomic variables (2007)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)REIT Returns and Inflation: Perverse or Reverse Causality Effects? (2002)Investing in International Real Estate Stocks: A Review of the Literature (2003)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)Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics (1996)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An International Analysis of Earnings, Stock Prices and Bond Yields (2010)Do exchange rate changes have symmetric or asymmetric effects on stock prices? (2016)Land leverage and house prices (2010)Returns and Information Transmission Dynamics in Public and Private Real Estate Markets (2015)What do scientists know about inflation hedging? (2015)
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  • 2010Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?259 cited
  • 1983The Relation Between Stock Prices and Inflationary Expectations: The International Evidence207 cited
  • 1986Asset Pricing and Expected Inflation186 cited
  • 1983The Reaction of Stock Prices to Unanticipated Changes in Money: A Note183 cited
  • 2015Are gold and silver a hedge against inflation? A two century perspective182 cited
  • 2001STOCK PRICES AND INFLATION172 cited
  • 2007The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach154 cited
  • 1999Stock Returns and Inflation with Supply and Demand Disturbances151 cited
  • 1997International Evidence on Real Estate Securities as an Inflation Hedge143 cited
  • 1983Effects of Nominal Contracting on Stock Returns140 cited
  • 2001Inflation and rates of return on stocks: evidence from high inflation countries135 cited
  • 2001Macro shocks and real stock prices126 cited
  • 1979The Relationship Between Stock Market Returns and Rates of Inflation125 cited
  • 2001An I(2) analysis of inflation and the markup121 cited

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  • 2006Economic variables and stock market returns: evidence from the Athens stock exchange119 cited
  • 1990Are REITs inflation hedges?116 cited