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Can output explain the predictability and volatility of stock returns?

  • Rodriguez, Rosa
  • Restoy, Fernando
  • Pena, J. Ignacio
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-44YWN39-1/2/d58be3dd6684a6b7f844715a0e6001a2
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 21 (2002)
    Issue (Month): 2 (April)
    Pages: 163-182

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    Handle: RePEc:eee:jimfin:v:21:y:2002:i:2:p:163-182
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. Robert J. Barro, 1989. "The Stock Market and Investment," NBER Working Papers 2925, National Bureau of Economic Research, Inc.
    3. Fernando Restoy & Philippe Weil, 1995. "Approximate Equilibrium Asset Prices," Banco de Espa�a Working Papers 9515, Banco de Espa�a.
    4. Campbell, John, 1990. "Measuring the Persistence of Expected Returns," Scholarly Articles 3207696, Harvard University Department of Economics.
    5. Philippe Weil, 1992. "Equilibrium Asset Prices With Undiversifiable Labor Income Risk," NBER Working Papers 3975, National Bureau of Economic Research, Inc.
    6. John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
    7. Peiro, Amado, 1996. "Stock Prices, Production and Interest Rates: Comparison of Three European Countries with the USA," Empirical Economics, Springer, vol. 21(2), pages 221-34.
    8. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
    9. John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
    10. John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc.
    11. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
    12. West, Kenneth D, 1988. "Dividend Innovations and Stock Price Volatility," Econometrica, Econometric Society, vol. 56(1), pages 37-61, January.
    13. Barry V. Cozier & Abdul H. Rahman, 1988. "Stock Returns, Inflation, and Real Activity in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 21(4), pages 759-74, November.
    14. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July.
    15. Gallinger, George W, 1994. "Causality Tests of the Real Stock Return-Real Activity Hypothesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 271-88, Summer.
    16. Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. " Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-28, September.
    17. Marathe, Achla & Shawky, Hany A., 1994. "Predictability of stock returns and real output," The Quarterly Review of Economics and Finance, Elsevier, vol. 34(4), pages 317-331.
    18. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
    19. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June.
    20. Sanford J. Grossman & Robert J. Shiller, 1980. "The Determinants of the Variability of Stock Market Prices," NBER Working Papers 0564, National Bureau of Economic Research, Inc.
    21. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    22. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
    23. Kandel, Shmuel & Stambaugh, Robert F., 1991. "Asset returns and intertemporal preferences," Journal of Monetary Economics, Elsevier, vol. 27(1), pages 39-71, February.
    24. Gabriel Hawawini & Donald B. Keim, . "On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)," Rodney L. White Center for Financial Research Working Papers 23-92, Wharton School Rodney L. White Center for Financial Research.
    25. Malliaris, A. G. & Urrutia, Jorge L., 1991. "An empirical investigation among real, monetary and financial variables," Economics Letters, Elsevier, vol. 37(2), pages 151-158, October.
    26. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-74, May.
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