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Inflation, interest rates and the predictability of stock returns
16 references·0 citing·39 second hopsampled
Inflation, interest rates and the predictability of stock returns (2023)Inflation, interest rates and the predict…Forecasting Stock Returns (2013)Forecasting Stock ReturnsPredictive regressions with time-varying coefficients (2012)Predictive regressions with t…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Time-Varying Risk Premiums and the Output Gap (2008)Time-Varying Risk Premiums an…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…The Myth of Long-Horizon Predictability (2005)The Myth of Long-Horizon Pred…Predicting the Equity Premium with Dividend Ratios (2003)Predicting the Equity Premium…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Asset returns and inflation (1977)Asset returns and inflationINFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Book Review: Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Efficient Capital Markets: II (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)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)A Theory of the Term Structure of Interest Rates (1985)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Comparing Predictive Accuracy (1994)To Explain or to Predict? (2010)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Science of Monetary Policy: A New Keynesian Perspective (1999)Expected Stock Returns and Variance Risk Premia (2009)Credit Spreads and Business Cycle Fluctuations (2012)Common risk factors in the returns on stocks and bonds (1993)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Forecasting: theory and practice (2022)Dividend yields and expected stock returns (1988)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1977Asset returns and inflation2,706 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2003Predicting the Equity Premium with Dividend Ratios764 cited
  • 2013Forecasting Stock Returns634 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 2012Predictive regressions with time-varying coefficients557 cited
  • 2008Time-Varying Risk Premiums and the Output Gap501 cited

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The Myth of Long-Horizon Predictability
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