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A Study on the Effect of Macroeconomic Variables on Indian Mutual Funds
10 references·1 citing·34 second hopsampled
A Study on the Effect of Macroeconomic Variables on Indian Mutual Funds (2022)A Study on the Effect of Macroeconomic Va…Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory (1998)Macroeconomic variables as co…The CAPM is Wanted, Dead or Alive (1996)The CAPM is Wanted, Dead or A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Chapter 4 The arbitrage pricing theory and multifactor models of asset returns (1995)Chapter 4 The arbitrage prici…MACROECONOMIC FACTORS AND THE UK STOCK MARKET (1991)MACROECONOMIC FACTORS AND THE…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIAn Asset-Pricing Theory Unifying the CAPM and APT (1988)An Asset-Pricing Theory Unify…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Market timing abilities of Indian mutual fund managers: an empirical analysis (2014)Market timing abilities of In…Generalized autoregressive conditional heteroskedasticity (1986)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance (2003)Interest rate sensitivity and risk premium of property stocks (2003)Diversification and the Optimal Construction of Basis Portfolios (2005)The Behavior of Stock-Market Prices (1965)The relationship between return and market value of common stocks (1981)Macroeconomic influences on the stock market (2001)Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)The effects of macroeconomic factors on stock returns: Istanbul Stock Market (2009)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)Financial Intermediation and Delegated Monitoring (1984)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)Efficient Capital Markets: II (1991)The relationship between size, book-to-market equity ratio, earnings–price ratio, and return for the Hong Kong stock market (2002)Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market (2005)A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980‐2006 (2008)Corporate financing and investment decisions when firms have information that investors do not have (1984)An Anatomy of Trading Strategies (1998)Inefficient Markets (2000)Short-sale constraints and stock returns (2002)Oil price risk and the Australian stock market (1999)On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach (2003)Superstitious Learning with Rare Strategic Decisions: Theory and Evidence from Corporate Acquisitions (2009)INTEREST RATE SENSITIVITY OF BANK STOCK RETURNS: SPECIFICATION EFFECTS AND STRUCTURAL CHANGES (1990)Risk factors in the Malaysian stock market (1998)The COVID-19 storm and the energy sector: The impact and role of uncertainty (2021)On Persistence in Mutual Fund Performance (1997)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 1996The CAPM is Wanted, Dead or Alive488 cited
  • 1991MACROECONOMIC FACTORS AND THE UK STOCK MARKET147 cited
  • 1998Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory95 cited
  • 1988An Asset-Pricing Theory Unifying the CAPM and APT83 cited
  • 1995Chapter 4 The arbitrage pricing theory and multifactor models of asset returns29 cited

Cited by

  • 2014Market timing abilities of Indian mutual fund managers: an empirical analysis18 cited

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