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Money and stock prices : Market efficiency and the lag in effect of monetary policy

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  • Rozeff, Michael S.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-45NHW8F-W/2/e1169f366e088f7349dc362220f8bb63
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 1 (1974)
    Issue (Month): 3 (September)
    Pages: 245-302

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    Handle: RePEc:eee:jfinec:v:1:y:1974:i:3:p:245-302

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Cited by:
    1. Michael Steiner, 2009. "Predicting premiums for the market, size, value, and momentum factors," Financial Markets and Portfolio Management, Springer, vol. 23(2), pages 137-155, June.
    2. Ariff, Mohamed & Chung, Tin-fah & M., Shamsher, 2012. "Money supply, interest rate, liquidity and share prices: A test of their linkage," Global Finance Journal, Elsevier, vol. 23(3), pages 202-220.
    3. Kearney, Adrienne A., 1996. "The effect of changing monetary policy regimes on stock prices," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 429-447.
    4. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
    5. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
    6. Rahmi Yamak & Yakup Kucukkale, 2002. "Anticipated Money Growth and Stock Prices in Turkey," Macroeconomics 0211010, EconWPA.
    7. R. W. Hafer, 1985. "Further evidence on stock price response to changes in weekly money and the discount rate," Working Papers 1985-015, Federal Reserve Bank of St. Louis.
    8. Sirucek, Martin, 2012. "The impact of money supply on stock prices and stock bubbles," MPRA Paper 40919, University Library of Munich, Germany.
    9. Hall, Robert E & Mishkin, Frederic S, 1982. "The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households," Econometrica, Econometric Society, vol. 50(2), pages 461-81, March.
    10. Acuña, Andres A. & Pinto, Cristian F., 2012. "Respuesta del retorno accionario a la politica monetaria: Evidencia para el mercado chileno
      [Stock return response to monetary policy: Evidence from the Chilean market]
      ," MPRA Paper 41091, University Library of Munich, Germany.

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