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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. John Y. Campbell, 1990. "Measuring the Persistence of Expected Returns," NBER Working Papers 3305, National Bureau of Economic Research, Inc.
    2. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
    3. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    4. 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.
    5. 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.
    6. John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
    7. Kenneth D. West, 1986. "Dividend Innovations and Stock Price Volatility," NBER Working Papers 1833, National Bureau of Economic Research, Inc.
    8. 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.
    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. 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.
    11. Philippe Weil, 1992. "Equilibrium Asset Prices With Undiversifiable Labor Income Risk," NBER Working Papers 3975, National Bureau of Economic Research, Inc.
    12. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-36, June.
    13. 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.
    14. Robert J. Barro, 1989. "The Stock Market and Investment," NBER Working Papers 2925, National Bureau of Economic Research, Inc.
    15. Campbell, John, 1993. "Intertemporal Asset Pricing Without Consumption Data," Scholarly Articles 3221491, Harvard University Department of Economics.
    16. Kandel, Shmuel & Stambaugh, Robert F., 1991. "Asset returns and intertemporal preferences," Journal of Monetary Economics, Elsevier, vol. 27(1), pages 39-71, February.
    17. Fernando Restoy & Philippe Weil, 1998. "Approximate Equilibrium Asset Prices," Sciences Po publications 6611, Sciences Po.
    18. 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.
    19. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    20. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June.
    21. 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.
    22. 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.
    23. 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.
    24. 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.
    25. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    26. 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.
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