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A Test Of The Risk Premium Hypothesis

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  • Mohammad Najand

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  • Mohammad Najand, 1991. "A Test Of The Risk Premium Hypothesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 207-216, September.
    • Handle: RePEc:bla:jfnres:v:14:y:1991:i:3:p:207-216
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1991.tb00658.x
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    References listed on IDEAS

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    1. Gale, William A, 1981. "Temporal Variability of United States Consumer Price Index," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(3), pages 273-297, August.
    2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    3. Poterba, James M & Summers, Lawrence H, 1986. "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, American Economic Association, vol. 76(5), pages 1142-1151, December.
    4. Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-483, May.
    5. Mark J. Buono, 1989. "The Relationship Between The Variability Of Inflation And Stock Returns: An Empirical Investigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 329-339, December.
    6. Pindyck, Robert S, 1984. "Risk, Inflation, and the Stock Market," American Economic Review, American Economic Association, vol. 74(3), pages 335-351, June.
    7. Victor L Bernard & Thomas J. Frecka, 1983. "Evidence On The Existence Of Common Stock Inflation Hedges," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 301-312, December.
    8. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    9. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
    10. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    11. Bodie, Zvi, 1976. "Common Stocks as a Hedge against Inflation," Journal of Finance, American Finance Association, vol. 31(2), pages 459-470, May.
    12. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    13. Friend, Irwin & Blume, Marshall E, 1975. "The Demand for Risky Assets," American Economic Review, American Economic Association, vol. 65(5), pages 900-922, December.
    14. Gultekin, N Bulent, 1983. "Stock Market Returns and Inflation: Evidence from Other Countries," Journal of Finance, American Finance Association, vol. 38(1), pages 49-65, March.
    15. Buono, Mark J, 1989. "The Relationship between the Variability of Inflation and Stock Returns: An Empirical Investigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 329-339, Winter.
    16. Friend, Irwin & Landskroner, Yoram & Losq, Etienne, 1976. "The Demand for Risky Assets under Uncertain Inflation," Journal of Finance, American Finance Association, vol. 31(5), pages 1287-1297, December.
    17. Cornell, Bradford, 1983. "The Money Supply Announcements Puzzle: Review and Interpretation," American Economic Review, American Economic Association, vol. 73(4), pages 644-657, September.
    18. Jaffe, Jeffrey F & Mandelker, Gershon, 1976. "The "Fisher Effect" for Risky Assets: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 31(2), pages 447-458, May.
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    Cited by:

    1. Mahdi Sadeghi, 1992. "Stock Market Response to Unexpected Macroeconomic News: The Australian Evidence," IMF Working Papers 1992/061, International Monetary Fund.
    2. John Ammer, 1994. "Inflation, inflation risk, and stock returns," International Finance Discussion Papers 464, Board of Governors of the Federal Reserve System (U.S.).

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