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Citations for " Stock Returns and Real Activity: A Century of Evidence"

by Schwert, G William

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  1. Jianping Mei, 1999. "Political Risk, Financial Crisis, and Market Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-049, New York University, Leonard N. Stern School of Business-.
  2. Lean, H.H. & McAleer, M.J. & Wong, W-K., 2010. "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Report EI 2010-37, Erasmus University Rotterdam, Econometric Institute.
  3. Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
  4. Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics.
  5. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
  6. Kia, Amir, 2003. "Rational speculators and equity volatility as a measure of ex ante risk," Global Finance Journal, Elsevier, vol. 14(2), pages 135-157, July.
  7. Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003. "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series rp54, International Center for Financial Asset Management and Engineering.
  8. Ling He & Joseph McGarrity, 2004. "Data errors in small data sets can determine empirical findings," Atlantic Economic Journal, International Atlantic Economic Society, vol. 32(2), pages 89-99, June.
  9. Batool, Irem & Sieg, Gernot, 2009. "Bread, peace and the attrition of power: Economic events and German election results," Economics Department Working Paper Series 3, Technische Universität Braunschweig, Economics Department.
  10. Lamont, Owen A., 2001. "Economic tracking portfolios," Journal of Econometrics, Elsevier, vol. 105(1), pages 161-184, November.
  11. Paul Beaudry & Franck Portier, 2004. "Stock Prices, News and Economic Fluctuations," NBER Working Papers 10548, National Bureau of Economic Research, Inc.
  12. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
  13. Ling He & Joseph McGarrity, 2005. "A Reexamination of the Wealth Effect and Uncertainty Effect," International Advances in Economic Research, Springer, vol. 11(4), pages 379-398, November.
  14. 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.
  15. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CARF F-Series CARF-F-201, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  16. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  17. Ólan T. Henry & Nilss Olekalns & Jonathan Thong, 2004. "Do stock market returns predict changes to output? Evidence from a nonlinear panel data model," Empirical Economics, Springer, vol. 29(3), pages 527-540, 09.
  18. Uluc Aysun & Melanie Guldi, 2008. "Increasing Derivatives Market Activity in Emerging Markets and Exchange Rate Exposure," Working papers 2008-06, University of Connecticut, Department of Economics, revised Oct 2008.
  19. Phylaktis, Kate & Ravazzolo, Fabiola, 2002. "Measuring financial and economic integration with equity prices in emerging markets," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 879-903, November.
  20. Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
  21. Daniel Daugaard & Tom Valentine, 1992. "Share Prices: A Comparison of Fundamental Models," Working Paper Series 20, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  22. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
  23. Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002. "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC 2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  24. Booth, James R. & Booth, Lena Chua, 2003. "Is presidential cycle in security returns merely a reflection of business conditions?," Review of Financial Economics, Elsevier, vol. 12(2), pages 131-159.
  25. Verma, Rahul & Soydemir, Gökçe, 2009. "The impact of individual and institutional investor sentiment on the market price of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1129-1145, August.
  26. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," Working Papers in Economics 10/18, University of Canterbury, Department of Economics and Finance.
  27. Naranjo, Andy & Protopapadakis, Aris, 1997. "Financial market integration tests: an investigation using US equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 93-135, July.
  28. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2009. "Accruals, cash flows, and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 91(3), pages 389-406, March.
  29. Thomas Gosnell & Ali Nejadmalayeri, 2010. "Macroeconomic news and risk factor innovations," Managerial Finance, Emerald Group Publishing, vol. 36(7), pages 566-582, July.
  30. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
  31. Jianjun Miao & Rui Albuquerque, 2008. "Advance Information and Asset Prices," 2008 Meeting Papers 44, Society for Economic Dynamics.
  32. Feridun, Mete, 2006. "Long-Run Relationship between Economic Growth and Stock Returns: An Empirical Investigation on Canada and the United States," MPRA Paper 737, University Library of Munich, Germany.
  33. Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000. "Let's Get "Real" About Using Economic Data," Econometric Society World Congress 2000 Contributed Papers 1004, Econometric Society.
  34. James R. Booth & Lena Chua Booth, 1997. "Economic factors, monetary policy and expected returns on stocks and bonds," Economic Review, Federal Reserve Bank of San Francisco, pages 32-42.
  35. Bakshi, Gurdip S. & Chen, Zhiwu & Naka, Atsuyuki, 1995. "Production-based asset pricing in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 217-240, July.
  36. Los, Cornelis A., 2006. "System identification in noisy data environments: An application to six Asian stock markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1997-2024, July.
  37. Ekaterini Panopoulou & Nikitas Pittis & Sarantis Kalyvitis, 2006. "Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests," The Institute for International Integration Studies Discussion Paper Series iiisdp134, IIIS.
  38. Binswanger, Mathias, 2000. "Stock market booms and real economic activity: Is this time different?," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 387-415, October.
  39. Tsouma, Ekaterini, 2009. "Stock returns and economic activity in mature and emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 668-685, May.
  40. Hassapis, Christis & Kalyvitis, Sarantis, 2002. "On the propagation of the fluctuations of stock returns on growth: is the global effect important?," Journal of Policy Modeling, Elsevier, vol. 24(5), pages 487-502, August.
  41. Nikolaos Giannellis & Athanasios Papadopoulos & Angelos Kanas, 2008. "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US," Working Papers 0807, University of Crete, Department of Economics.
  42. Voth, Hans-Joachim, 2002. "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers 3254, C.E.P.R. Discussion Papers.
  43. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2008. "Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed," NBER Working Papers 14422, National Bureau of Economic Research, Inc.
  44. Hibbs, Douglas A, Jr, 2000. " Bread and Peace Voting in U.S. Presidential Elections," Public Choice, Springer, vol. 104(1-2), pages 149-80, July.
  45. Ozlem Goktas & Aycan Hepsag, 2011. "Do stock returns lead real economic activity? Evidence from seasonal cointegration analysis," Economics Bulletin, AccessEcon, vol. 31(3), pages 2117-2127.
  46. Nikolaos Sariannidis, 2011. "Stock, Energy and Currency Effects on the Asymmetric Wheat Market," International Advances in Economic Research, Springer, vol. 17(2), pages 181-192, May.
  47. Marina Emiris, 2002. "Measuring capital market integration," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 200-221 Bank for International Settlements.
  48. Habibullah, M.S. & Baharom, A.H. & Fong, Kin Hing, 2009. "Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries," MPRA Paper 14114, University Library of Munich, Germany.
  49. Paolo Mauro, 2000. "Stock Returns and Output Growth in Emerging and Advanced Economies," IMF Working Papers 00/89, International Monetary Fund.
  50. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
  51. Verma, Rahul & Verma, Priti, 2008. "Are survey forecasts of individual and institutional investor sentiments rational?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1139-1155, December.
  52. Domian, Dale L. & Reichenstein, William, 1998. "Term Spreads and Predictions of Bond and Stock Excess Returns," Financial Services Review, Elsevier, vol. 7(1), pages 25-44.
  53. Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Banco de España Working Papers 1232, Banco de España.
  54. Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 167-179.
  55. Bernstein, Asaf & Hughson, Eric & Weidenmier, Marc D., 2010. "Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed," Journal of Financial Economics, Elsevier, vol. 98(1), pages 40-53, October.
  56. Domian, Dale L. & Louton, David A., 1995. "Business cycle asymmetry and the stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(4), pages 451-466.
  57. Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
  58. repec:tru:umkeip:2012:v3:p:153-167 is not listed on IDEAS
  59. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
  60. Andreas Humpe & Peter D. Macmillan, 2005. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CRIEFF Discussion Papers 0511, Centre for Research into Industry, Enterprise, Finance and the Firm.
  61. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  62. Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004.
  63. Voituriez, Tancrede, 2001. "What explains price volatility changes in commodity markets? Answers from the world palm-oil market," Agricultural Economics, Blackwell, vol. 25(2-3), pages 295-301, September.
  64. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
  65. Canova, Fabio & De Nicolo', Gianni, 1995. "Stock returns and real activity: A structural approach," European Economic Review, Elsevier, vol. 39(5), pages 981-1015, May.
  66. Cole, Rebel A. & Moshirian, Fariborz & Wu, Qiongbing, 2008. "Bank stock returns and economic growth," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 995-1007, June.
  67. Frank Westermann, 2002. "Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 317-328, September.
  68. Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September.
  69. Ferson, Wayne E. & Harvey, Campbell R., 1994. "Sources of risk and expected returns in global equity markets," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 775-803, September.
  70. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April.
  71. Sadka, Gil & Sadka, Ronnie, 2009. "Predictability and the earnings-returns relation," Journal of Financial Economics, Elsevier, vol. 94(1), pages 87-106, October.
  72. Belén Martín-Barragán & Sofía B. Ramos & Helena Veiga, 2013. "Correlations between oil and stock markets : a wavelet-based approach," Statistics and Econometrics Working Papers ws130504, Universidad Carlos III, Departamento de Estadística y Econometría.
  73. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2012. "Stock returns and real activity: the dynamic conditional lagged correlation approach," MPRA Paper 43307, University Library of Munich, Germany.
  74. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
  75. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
  76. Boriss Siliverstovs & Manh Ha Duong, 2006. "On the Role of Stock Market for Real Economic Activity," Discussion Papers of DIW Berlin 599, DIW Berlin, German Institute for Economic Research.
  77. Hassapis, Christis & Kalyvitis, Sarantis, 2002. "Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 543-575.
  78. Shaun K. Roache & Alexander P. Attie, 2009. "Inflation Hedging for Long-Term Investors," IMF Working Papers 09/90, International Monetary Fund.
  79. Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
  80. Rangvid, Jesper, 2001. "Predicting returns and changes in real activity: evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 2(4), pages 309-329, December.
  81. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
  82. Cheung, Yin-Wong & He, Jia & Ng, Lilian K., 1997. "What are the global sources of rational variation in international equity returns?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 821-836, December.
  83. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries," MPRA Paper 43306, University Library of Munich, Germany.
  84. André Lucas & Ronald van Dijk & Teun Kloek, 2001. "Stock Selection, Style Rotation, and Risk," Tinbergen Institute Discussion Papers 01-021/2, Tinbergen Institute.
  85. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  86. Andreas Humpe & Peter Macmillan, 2007. " Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 0720, Centre for Dynamic Macroeconomic Analysis.
  87. Andrés Rivas & Rahul Verma & Antonio Rodriguez & Pedro H. Albuquerque, 2005. "Do European Stock Markets Affect Latin American Stock Markets?," Finance 0512017, EconWPA.
  88. Fangxiong Gong & Roberto Mariano, 1997. "Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 147-169, May.
  89. Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 237-252, May.
  90. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
  91. Laopodis, Nikiforos T., 2011. "Equity prices and macroeconomic fundamentals: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 247-276, April.
  92. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  93. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2007. "Accruals and Aggregate Stock Market Returns," MPRA Paper 5197, University Library of Munich, Germany.
  94. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
  95. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  96. Peter Hecht & Tuomo Vuolteenaho, 2005. "Explaining Returns with Cash-Flow Proxies," NBER Working Papers 11169, National Bureau of Economic Research, Inc.
  97. repec:pra:mprapa:4714 is not listed on IDEAS
  98. Peter Woehrmann, . "A dynamic model of the financial–real interaction as a model selection criterion for nonparametric stock market prediction," IEW - Working Papers 226, Institute for Empirical Research in Economics - University of Zurich.