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Stock market performance: Reaction to interest rates and inflation rates
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Stock market performance: Reaction to interest rates and inflation rates (2022)Stock market performance: Reaction to int…Predicting the bear stock market: Macroeconomic variables as leading indicators (2008)Predicting the bear stock mar…Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2008)Can macroeconomic variables e…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Stock prices and domestic and international macroeconomic activity: a cointegration approach (2000)Stock prices and domestic and…A vector error correction model of the Singapore stock market (2000)A vector error correction mod…Cointegration and causality between macroeconomic variables and stock market returns (1999)Cointegration and causality b…International evidence on the stock market and aggregate economic activity (1998)International evidence on the…DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Stock prices, asset portfolios and macroeconomic variables in ten European countries (1989)Stock prices, asset portfolio…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,…Asset returns and inflation (1977)Asset returns and inflationTHE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)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)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)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)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)Oil price shocks and stock market activity (1999)Testing for a Unit Root in Time Series Regression (1988)Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The Role of Macroeconomic Variables on Stock Market Index in China and India (2011)Asset Prices in an Exchange Economy (1978)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Oil prices and the stock prices of alternative energy companies (2007)
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References

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  • 2000Stock prices and domestic and international macroeconomic activity: a cointegration approach

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  • 1989Stock prices, asset portfolios and macroeconomic variables in ten European countries267 cited
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