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Stock Returns as Predictors of Interest Rates and Inflation

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  • Titman, Sheridan
  • Warga, Arthur

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 24 (1989)
Issue (Month): 01 (March)
Pages: 47-58

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Handle: RePEc:cup:jfinqa:v:24:y:1989:i:01:p:47-58_01

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Cited by:
  1. William Hardin & Xiaoquan Jiang & Zhonghua Wu, 2012. "REIT Stock Prices with Inflation Hedging and Illusion," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 45(1), pages 262-287, June.
  2. Kosmas Njanike & Pension Katsuro & Michael Mudzura, 2009. "Factors Influencing the Zimbabwe Stock Exchange Performance (2002-2007)," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, University of Petrosani, Romania, vol. 9(2), pages 161-172.
  3. Byun, Jong-Cook & Chen, Son-Nan, 1996. "International real interest rate parity with error correction models," Global Finance Journal, Elsevier, vol. 7(2), pages 129-151.
  4. Lamont, Owen A., 2001. "Economic tracking portfolios," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 161-184, November.
  5. Christopher T. Downing & Francis A. Longstaff & Michael A. Rierson, 2012. "Inflation Tracking Portfolios," NBER Working Papers 18135, National Bureau of Economic Research, Inc.
  6. Stefanescu, Razvan & Dumitriu, Ramona, 2010. "Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania," MPRA Paper 36716, University Library of Munich, Germany, revised 16 Feb 2011.
  7. Wei-han Liu & Zhefang Zhou, 2009. "Inflation-hedging Behavior of a Securitized Real Estate Market," International Real Estate Review, Asian Real Estate Society, Asian Real Estate Society, vol. 12(3), pages 221-251.
  8. Hong, Harrison & Torous, Walter & Valkanov, Rossen, 2002. "Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt6x49x543, Anderson Graduate School of Management, UCLA.
  9. Bruno, Salvatore & Chincarini, Ludwig, 2010. "A historical examination of optimal real return portfolios for non-US investors," Review of Financial Economics, Elsevier, Elsevier, vol. 19(4), pages 161-178, October.
  10. Guan-Ru Chen & Ming-Hung Wu, 2013. "How does Monetary Policy Influence Capital Markets? Using a Threshold Regression Model," Asia-Pacific Financial Markets, Springer, Springer, vol. 20(1), pages 31-47, March.
  11. Omran, Mohammed & Pointon, John, 2001. "Does the inflation rate affect the performance of the stock market? The case of Egypt," Emerging Markets Review, Elsevier, Elsevier, vol. 2(3), pages 263-279, September.
  12. Azzam, Islam, 2010. "Stock exchange demutualization and performance," Global Finance Journal, Elsevier, vol. 21(2), pages 211-222.
  13. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.

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