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Citations for "Stock Returns, Real Activity, Inflation, and Money"

by Fama, Eugene F

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  1. Sellin, Peter, 2001. " Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  2. Marko Korhonen, 2014. "The relation between national stock prices and effective exchange rates: Does it affect exchange rate exposure?," Proceedings of International Academic Conferences 0201346, International Institute of Social and Economic Sciences.
  3. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
  4. Pramod Kumar, Naik & Puja, Padhi, 2012. "The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data," MPRA Paper 38980, University Library of Munich, Germany.
  5. Bianconi, Marcelo, 1995. "Inflation and the real price of equities: Theory with some empirical evidence," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 495-514.
  6. Graham, Michael & Peltomäki, Jarkko & Piljak, Vanja, 2016. "Global economic activity as an explicator of emerging market equity returns," Research in International Business and Finance, Elsevier, vol. 36(C), pages 424-435.
  7. Sanvicente, A. Z. & Adrangi, B. & Chatrath, A., 2000. "Inflation, output and stock prices: evidence from Brazil," Finance Lab Working Papers flwp_34, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  8. Hau, Harald & Lai, Sandy, 2012. "Real Effects of Stock Underpricing," CEPR Discussion Papers 8820, C.E.P.R. Discussion Papers.
  9. Ely, David P. & Robinson, Kenneth J., 1997. "Are stocks a hedge against inflation? International evidence using a long-run approach," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 141-167, February.
  10. Dimitrios Subeniotis & Dimitrios Papadopoulos & Ioannis Tampakoudis & Athina Tampakoudi, 2011. "How Inflation, Market Capitalization, Industrial Production and the Economic Sentiment Indicator Affect the EU-12 Stock Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 105-120.
  11. Aslanidis, Nektarios & Cipollini, Andrea, 2009. "Leading indicator properties of US high-yield credit spreads," Working Papers 2072/15810, Universitat Rovira i Virgili, Department of Economics.
  12. Geert Bekaert & Eric Engstrom, 2009. "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  13. Jovanovic, B. & Ueda, M., 1996. "Contracts and Money," Working Papers 96-23, C.V. Starr Center for Applied Economics, New York University.
  14. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
  15. Peiró, Amado, 2016. "Stock prices and macroeconomic factors: Some European evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 287-294.
  16. Alexius, Annika & Spång, Daniel, 2015. "Stocks and GDP in the long run," Research Papers in Economics 2015:5, Stockholm University, Department of Economics.
  17. Bange, Mary M. & Miller, Thomas Jr., 2004. "Return momentum and global portfolio allocations," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 429-459, September.
  18. Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
  19. Meyer, Björn O., 2014. "The role of sentiment in the provision of credit," Kiel Advanced Studies Working Papers 466, Kiel Institute for the World Economy (IfW).
  20. Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers 2072/8950, Universitat Rovira i Virgili, Department of Economics.
  21. repec:bof:bofrdp:1995_034 is not listed on IDEAS
  22. 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.
  23. Hui Guo, 2002. "Why are stock market returns correlated with future economic activities?," Review, Federal Reserve Bank of St. Louis, issue Mar., pages 19-34.
  24. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
  25. Hunjra, Ahmed Imran & Chani, Muhammad Irfan & Ijaz, Muhammad Shahzad & Farooq, Muhammad & Khan, Kamran, 2014. "The Impact of Macroeconomic Variables on Stock Prices in Pakistan," MPRA Paper 60791, University Library of Munich, Germany.
  26. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
  27. repec:ipg:wpaper:2014-108 is not listed on IDEAS
  28. Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2013. "The cross section of conditional mutual fund performance in European stock markets," Journal of Financial Economics, Elsevier, vol. 108(3), pages 699-726.
  29. Du, Ding & Hu, Ou & Wu, Hong, 2014. "Emerging market currency exposure: Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 47-61.
  30. Geert Bekaert & Xiaozheng Wang, 2010. "Inflation risk and the inflation risk premium," Economic Policy, CEPR;CES;MSH, vol. 25, pages 755-806, October.
  31. Du, Ding, 2006. "Monetary policy, stock returns and inflation," Journal of Economics and Business, Elsevier, vol. 58(1), pages 36-54.
  32. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
  33. Bouoiyour, Jamal & Selmi, Refk, 2016. "The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach," MPRA Paper 70379, University Library of Munich, Germany.
  34. Tomić, Bojan, 2015. "The Impact Of Macroeconomic Indicators On The Movement Of Crobex," MPRA Paper 68324, University Library of Munich, Germany.
  35. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  36. Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  37. Kilian, Lutz & Park, Cheolbeom, 2007. "The Impact of Oil Price Shocks on the U.S. Stock Market," CEPR Discussion Papers 6166, C.E.P.R. Discussion Papers.
  38. Claudiu Albulescu & Christian Aubin & Daniel Goyeau, 2016. "Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes," Working Papers hal-01282481, HAL.
  39. Jakob B Madsen & E Philip Davis, 2003. "Equity Prices, Productivity Growth, And ‘The New Economy’," Economics and Finance Discussion Papers 03-04, Economics and Finance Section, School of Social Sciences, Brunel University.
  40. Barnes, Michelle L., 1999. "Inflation and returns revisited: a TAR approach," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 233-245, November.
  41. 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.
  42. Paul Alagidede & Theodore Panagiotidis, 2012. "Stock returns and Inflation:Evidence from Quantile Regressions," Discussion Paper Series 2012_04, Department of Economics, University of Macedonia, revised Apr 2012.
  43. Kim, J.W. & Leatham, D.J. & Bessler, D.A., 2007. "REITs' dynamics under structural change with unknown break points," Journal of Housing Economics, Elsevier, vol. 16(1), pages 37-58, March.
  44. Pindyck, Robert S., 1983. "Risk, inflation, and the stock market," Working papers 1423-83., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  45. Zhu, Hui-Ming & Li, Su-Fang & Yu, Keming, 2011. "Crude oil shocks and stock markets: A panel threshold cointegration approach," Energy Economics, Elsevier, vol. 33(5), pages 987-994, September.
  46. Montes, Gabriel Caldas & Tiberto, Bruno Pires, 2012. "Macroeconomic environment, country risk and stock market performance: Evidence for Brazil," Economic Modelling, Elsevier, vol. 29(5), pages 1666-1678.
  47. 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.
  48. Barro, Robert J, 1990. "The Stock Market and Investment," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 115-31.
  49. Khil, Jaeuk & Lee, Bong-Soo, 2000. "Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 457-482, July.
  50. Brown, William O. & Huang, Dayong & Wang, Fang, 2016. "Inflation illusion and stock returns," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 14-24.
  51. Ciner, Cetin, 2015. "Are equities good inflation hedges? A frequency domain perspective," Review of Financial Economics, Elsevier, vol. 24(C), pages 12-17.
  52. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
  53. Fernando M. Duarte, 2013. "Inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York.
  54. Konchitchki, Yaniv, 2013. "Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks," MPRA Paper 52934, University Library of Munich, Germany.
  55. Robert S. Chirinko & Stephen R. King, 1985. "Hidden Stimuli to Capital Formation: Debt and the Incomplete Adjustment of Financial Returns," NBER Working Papers 1684, National Bureau of Economic Research, Inc.
  56. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
  57. Narayan, Seema & Narayan, Paresh Kumar, 2012. "Do US macroeconomic conditions affect Asian stock markets?," Journal of Asian Economics, Elsevier, vol. 23(6), pages 669-679.
  58. Björn O. Meyer, 2014. "The Role of Sentiment in the Provision of Credit," Kiel Advanced Studies Working Papers 466, Kiel Institute for the World Economy.
  59. Cumming, Douglas & Helge Haß, Lars & Schweizer, Denis, 2013. "Private equity benchmarks and portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3515-3528.
  60. Gary Gorton & K. Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," Yale School of Management Working Papers amz2619, Yale School of Management, revised 01 Mar 2005.
  61. Dinh H B Phan & Susan S Sharma & Paresh K Narayan, . "Stock Return Forecasting: Some New Evidence," Financial Econometics Series 2015_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  62. James R. Lothian & Cornelia H.. McCarthy, 2001. "Equity Returns and Inflation: The Puzzlingly Long Lags," International Finance 0107003, EconWPA.
  63. Laopodis, Nikiforos T., 2009. "Fiscal policy and stock market efficiency: Evidence for the United States," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 633-650, May.
  64. Liew, Jimmy & Vassalou, Maria, 2000. "Can book-to-market, size and momentum be risk factors that predict economic growth?," Journal of Financial Economics, Elsevier, vol. 57(2), pages 221-245, August.
  65. Brian Payne & John Geppert, 2015. "Health care and the cross-section of US stock returns," Journal of Economics and Finance, Springer, vol. 39(1), pages 153-170, January.
  66. Friedrich, Christian & Klein, Melanie, 2009. "On the look-out for the bear: Predicting stock market downturns in G7 countries," Kiel Advanced Studies Working Papers 451, Kiel Institute for the World Economy (IfW).
  67. Brunnermeier, Markus K & Julliard, Christian, 2007. "Money Illusion and Housing Frenzies," CEPR Discussion Papers 6183, C.E.P.R. Discussion Papers.
  68. Karen K. Lewis & Martin D. Evans, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," NBER Working Papers 4134, National Bureau of Economic Research, Inc.
  69. Wongbangpo, Praphan & Sharma, Subhash C., 2002. "Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries," Journal of Asian Economics, Elsevier, vol. 13(1), pages 27-51.
  70. Brandt, Michael W. & Wang, Kevin Q., 2003. "Time-varying risk aversion and unexpected inflation," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1457-1498, October.
  71. Gurgul, Henryk & Lach, Łukasz, 2010. "The causal link between Polish stock market and key macroeconomic aggregates," MPRA Paper 52250, University Library of Munich, Germany.
  72. 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.
  73. Maik Schmeling & Andreas Schrimpf, 2008. "Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?," SFB 649 Discussion Papers SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  74. Chen, Nai-fu & Zhang, Feng, 1997. "Correlations, trades and stock returns of the Pacific-Basin markets," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 559-577, December.
  75. Lee, Bong Soo, 2010. "Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1257-1273, June.
  76. Maysami, Ramin Cooper & Koh, Tiong Sim, 2000. "A vector error correction model of the Singapore stock market," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 79-96, February.
  77. Paul Alagidede & Theodore Panagiotidis, 2010. "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Koç University-TUSIAD Economic Research Forum Working Papers 1022, Koc University-TUSIAD Economic Research Forum.
  78. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
  79. Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo, 2014. "Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective," Macroeconomics Working Papers 24516, East Asian Bureau of Economic Research.
  80. Daniel M. Covitz & Diana Hancock & Myron L. Kwast, 2002. "Market discipline in banking reconsidered: the roles of deposit insurance reform, funding manager decisions and bond market liquidity," Finance and Economics Discussion Series 2002-46, Board of Governors of the Federal Reserve System (U.S.).
  81. Durai, S. Raja Sethu & Bhaduri, Saumitra N., 2009. "Stock prices, inflation and output: Evidence from wavelet analysis," Economic Modelling, Elsevier, vol. 26(5), pages 1089-1092, September.
  82. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
  83. Stephan Kessler & Bernd Scherer, 2013. "Momentum and macroeconomic state variables," Financial Markets and Portfolio Management, Springer, vol. 27(4), pages 335-363, December.
  84. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
  85. Kenneth N. Kuttner & Adam S. Posen, 2007. "Do Markets Care Who Chairs the Central Bank?," NBER Working Papers 13101, National Bureau of Economic Research, Inc.
  86. Adcock, Christopher & Hua, Xiuping & Mazouz, Khelifa & Yin, Shuxing, 2014. "Does the stock market reward innovation? European stock index reaction to negative news during the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 470-491.
  87. Oxman, Jeffrey, 2012. "Price inflation and stock returns," Economics Letters, Elsevier, vol. 116(3), pages 385-388.
  88. Marco Guerrazzi, 2015. "Animal spirits, investment and unemployment: An old Keynesian view of the Great Recession," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(3), pages 343_358.
  89. 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.
  90. Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
  91. Henry, Ólan & Olekalns, Nilss & Shields, Kalvinder, 2010. "Sign and phase asymmetry: News, economic activity and the stock market," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 1083-1100, December.
  92. Chu, Ba, 2011. "Recovering copulas from limited information and an application to asset allocation," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1824-1842, July.
  93. Mishra, Ashok K. & Moss, Charles B. & Erickson, Kenneth W., 2004. "Effect Of Debt Solvency On Farmland Values: A Panel Cointegration Approach," 2004 Annual meeting, August 1-4, Denver, CO 20261, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  94. Brière, Marie & Signori, Ombretta, 2013. "Hedging inflation risk in a developing economy: The case of Brazil," Research in International Business and Finance, Elsevier, vol. 27(1), pages 209-222.
  95. Tomić, Bojan & Sesar, Andrijana, 2015. "Interdependence of Industrial Production Index and capital market in Croatia: VAR model," MPRA Paper 66816, University Library of Munich, Germany.
  96. Karen L. Benson & David R. Gallagher & Patrick Teodorowski, 2007. "Momentum investing and the asset allocation decision," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(4), pages 571-598.
  97. Robert J. Barro & Xavier Sala-i-Martin, 1990. "World Real Interest Rates," NBER Chapters, in: NBER Macroeconomics Annual 1990, Volume 5, pages 15-74 National Bureau of Economic Research, Inc.
  98. Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
  99. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February.
  100. Pearce, Douglas K & Roley, V Vance, 1988. " Firm Characteristics, Unanticipated Inflation, and Stock Returns," Journal of Finance, American Finance Association, vol. 43(4), pages 965-81, September.
  101. Parantap Basu & Max Gillman & Joseph Pearlman, 2010. "Inflation, Human Capital and Tobin's q," IEHAS Discussion Papers 1017, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  102. Peter Blair Henry, 2001. "Is Disinflation Good for the Stock Market?," NBER Working Papers 8289, National Bureau of Economic Research, Inc.
  103. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
  104. Chatrath, Arjun & Ramchander, Sanjay & Song, Frank, 1996. "Stock prices, inflation and output: Evidence from India," Journal of Asian Economics, Elsevier, vol. 7(2), pages 237-245.
  105. Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
  106. Nikolaos Antonakakis & Rangan Gupta & Aviral K. Tiwari, 2016. "Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries," Working Papers 201605, University of Pretoria, Department of Economics.
  107. Yu Hsing, 2013. "Effects of Fiscal Policy and Monetary Policy on the Stock Market in Poland," Economies, MDPI, Open Access Journal, vol. 1(3), pages 19-25, October.
  108. Rapach, David E., 2002. "The long-run relationship between inflation and real stock prices," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 331-351, September.
  109. Boateng, Agyenim & Hua, Xiuping & Uddin, Moshfique & Du, Min, 2014. "Home country macroeconomic factors on outward cross-border mergers and acquisitions: Evidence from the UK," Research in International Business and Finance, Elsevier, vol. 30(C), pages 202-216.
  110. Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
  111. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
  112. Ogden, Joseph P., 2003. "The calendar structure of risk and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 70(1), pages 29-67, October.
  113. Ghosal, Vivek & Gallo, Joseph, 2001. "The cyclical behavior of the Department of Justice's antitrust enforcement activity," International Journal of Industrial Organization, Elsevier, vol. 19(1-2), pages 27-54, January.
  114. Floros, C., 2004. "Stock Returns and Inflation in Greece," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(2).
  115. Raza, Syed Ali & Jawaid, Syed Tehseen & Afshan, Sahar, 2013. "Is Stock Market Sensitive to Foreign Capital Inflows and Economic Growth? Evidence from Pakistan," MPRA Paper 48399, University Library of Munich, Germany.
  116. Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
  117. Muradoglu, Yaz Gulnur & Metin, Kivilcim, 1996. "Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis," European Journal of Operational Research, Elsevier, vol. 90(3), pages 566-576, May.
  118. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.
  119. 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.
  120. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
  121. Nikolaos Sariannidis, 2011. "Stock, Energy and Currency Effects on the Asymmetric Wheat Market," International Advances in Economic Research, International Atlantic Economic Society, vol. 17(2), pages 181-192, May.
  122. Eakins, Stanley G. & Stansell, Stanley R. & Wertheim, Paul E., 1998. "Institutional portfolio composition: An examination of the prudent investment hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(1), pages 93-109.
  123. Cong, Rong-Gang & Wei, Yi-Ming & Jiao, Jian-Lin & Fan, Ying, 2008. "Relationships between oil price shocks and stock market: An empirical analysis from China," Energy Policy, Elsevier, vol. 36(9), pages 3544-3553, September.
  124. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  125. Albaity, Mohamed Shikh, 2011. "Impact of the monetary policy instruments on Islamic stock market index return," Economics Discussion Papers 2011-26, Kiel Institute for the World Economy (IfW).
  126. Kumar, Surender & Managi, Shunsuke & Matsuda, Akimi, 2012. "Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis," Energy Economics, Elsevier, vol. 34(1), pages 215-226.
  127. Wang, Hao, 2010. "Sparse seemingly unrelated regression modelling: Applications in finance and econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2866-2877, November.
  128. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
  129. 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.
  130. Guo, Liang, 2016. "Are U.S. investors blindly chasing returns in foreign countries?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 309-334.
  131. Roland Füss & Denis Schweizer, 2012. "Short and long-term interactions between venture capital returns and the macroeconomy: evidence for the United States," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 391-410, April.
  132. Wu, Ying, 2001. "Exchange rates, stock prices, and money markets: evidence from Singapore," Journal of Asian Economics, Elsevier, vol. 12(3), pages 445-458.
  133. Managi, Shunsuke & Managi, Shunsuke & Okimoto, Tatsuyoshi, 2013. "Does the price of oil interact with clean energy prices in the stock market?," MPRA Paper 46067, University Library of Munich, Germany.
  134. Reffett, Kevin L., 1995. "Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 569-597, April.
  135. Christophe Boucher, 2003. "Stock Market Valuation : the Role of the Macroeconomic Risk Premium," Finance 0305011, EconWPA.
  136. Ahmed Imran Hunjra & Muhammad Irfan Chani & Muhammad Shahzad & Muhammad Farooq & Kamran Khan, 2014. "The macroeconomic variables are crucial for any change in economy for a country," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 2(1), pages 13-21, January.
  137. 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.
  138. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
  139. Owen Lamont, . "Economic Tracking Portfolios."," CRSP working papers 489, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  140. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers 201122, University of Pretoria, Department of Economics.
  141. Daniel M. Covitz & Diana Hancock & Myron L. Kwast, 2004. "A reconsideration of the risk sensitivity of U.S. banking organization subordinated debt spreads: a sample selection approach," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 73-92.
  142. John, Tatom, 2009. "U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?," MPRA Paper 19762, University Library of Munich, Germany.
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