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Citations for "Inflation Illusion and Stock Prices"

by John Y. Campbell & Tuomo Vuolteenaho

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  1. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
  2. Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2016. "Human capital and international portfolio diversification: A reappraisal," Journal of International Economics, Elsevier, vol. 99(S1), pages S78-S96.
  3. De Santis, Roberto A & Favero, Carlo A. & Roffia, Barbara, 2012. "Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability," CEPR Discussion Papers 8957, C.E.P.R. Discussion Papers.
  4. Monika Piazzesi & Martin Schneider, 2007. "Inflation Illusion, Credit, and Asset Pricing," NBER Working Papers 12957, National Bureau of Economic Research, Inc.
  5. Giot, Pierre & Petitjean, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, vol. 23(2), pages 289-305.
  6. Konchitchki, Yaniv, 2011. "Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices," MPRA Paper 52928, University Library of Munich, Germany.
  7. 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.
  8. Eugene N. White, 2004. "Bubbles and Busts: The 1990s in the Mirror of the 1920s," FRU Working Papers 2004/09, University of Copenhagen. Department of Economics. Finance Research Unit.
  9. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
  10. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
  11. Spierdijk, Laura & Umar, Zaghum, 2015. "Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession," Journal of Economics and Business, Elsevier, vol. 79(C), pages 1-37.
  12. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Inflation Illusion and Stock Prices," American Economic Review, American Economic Association, vol. 94(2), pages 19-23, May.
  13. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  14. Campbell, John Y & Viceira, Luis M, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers 4914, C.E.P.R. Discussion Papers.
  15. Marie Briere & Ombretta Signori, 2009. "Inflation-hedging portfolios in Different Regimes," Working Papers CEB 09-047.RS, ULB -- Universite Libre de Bruxelles.
  16. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  17. Acker, Daniella & Duck, Nigel W., 2013. "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 235-254.
  18. Boucher, Christophe, 2006. "Stock prices-inflation puzzle and the predictability of stock market returns," Economics Letters, Elsevier, vol. 90(2), pages 205-212, February.
  19. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
  20. Sebastien Lleo & Bill Ziemba, 2014. "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world," LSE Research Online Documents on Economics 60960, London School of Economics and Political Science, LSE Library.
  21. 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.
  22. Brown, William O. & Huang, Dayong & Wang, Fang, 2016. "Inflation illusion and stock returns," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 14-24.
  23. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005. "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," NBER Working Papers 11018, National Bureau of Economic Research, Inc.
  24. Marie Briere & Ombretta Signori, 2013. "Hedging inflation risk in a developing economy: The case of Brazil," ULB Institutional Repository 2013/167772, ULB -- Universite Libre de Bruxelles.
  25. Sebastien Lleo & William T. Ziemba, 2014. "Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models?," LSE Research Online Documents on Economics 59290, London School of Economics and Political Science, LSE Library.
  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. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  28. Nahil Boussiga & Ezzeddine Abaoub, 2015. "How Does Government Policy Affect Equity Risk Premium?," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(2), pages 65-75.
  29. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu
    [Money supply and US stock market causality]
    ," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.
  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. Madsen, Jakob B., 2012. "A behavioral model of house prices," Journal of Economic Behavior & Organization, Elsevier, vol. 82(1), pages 21-38.
  32. Alonso-Rivera, Angélica & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2014. "Impact of Monetary Policy on Financial Markets Efficiency and Speculative Bubbles: A Non-linear Entropy-based Approach," MPRA Paper 56127, University Library of Munich, Germany.
  33. William Hardin & Xiaoquan Jiang & Zhonghua Wu, 2012. "REIT Stock Prices with Inflation Hedging and Illusion," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 262-287, June.
  34. Georgios Bampinas & Theodore Panagiotidis, 2016. "Hedging Inflation with Individual US stocks: A long-run portfolio analysis," Working Paper Series 16-11, The Rimini Centre for Economic Analysis.
  35. Gregoriou, Andros & Kontonikas, Alexandros, 2008. "The long run relationship between stock prices and goods prices: new evidence from panel cointegration," SIRE Discussion Papers 2008-32, Scottish Institute for Research in Economics (SIRE).
  36. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc.
  37. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
  38. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  39. Carl Chen & Peter Lung & F. Wang, 2009. "Mispricing and the cross-section of stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 317-349, May.
  40. Lindaas, Knut F. & Simlai, Prodosh, 2014. "The value premium, aggregate risk innovations, and average stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 303-317.
  41. repec:dau:papers:123456789/7744 is not listed on IDEAS
  42. Jakob B Madsen, 2011. "A Repayment Model of House Prices," Monash Economics Working Papers 09-11, Monash University, Department of Economics.
  43. Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.
  44. Sirucek, Martin, 2013. "Vliv peněžní nabídky na akciové bubliny v Japonsku
    [The impact of money supply on japanesee stock bubbles]
    ," MPRA Paper 62817, University Library of Munich, Germany, revised 2013.
  45. 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.
  46. Oxman, Jeffrey, 2012. "Price inflation and stock returns," Economics Letters, Elsevier, vol. 116(3), pages 385-388.
  47. Cenesizoglu, Tolga, 2011. "Size, book-to-market ratio and macroeconomic news," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 248-270, March.
  48. Chen, Chen & Chen, Rong & Bassett, Gilbert W., 2007. "Fundamental indexation via smoothed cap weights," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3486-3502, November.
  49. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  50. Suthawan Prukumpai, 2015. "Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 22(2), pages 54-76, December.
  51. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.
  52. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  53. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
  54. Philip Jagd & Jakob Madsen, 2009. "Myopic loss aversion, bond returns and the equity premium puzzle," Applied Financial Economics, Taylor & Francis Journals, vol. 19(17), pages 1383-1390.
  55. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
  56. Koivu, Matti & Pennanen, Teemu & Ziemba, William T., 2005. "Cointegration analysis of the Fed model," Finance Research Letters, Elsevier, vol. 2(4), pages 248-259, December.
  57. Luhan, Wolfgang J. & Scharler, Johann, 2014. "Inflation illusion and the Taylor principle: An experimental study," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 94-110.
  58. Chortareas, Georgios & Noikokyris, Emmanouil, 2014. "Oil shocks, stock market prices, and the U.S. dividend yield decomposition," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 639-649.
  59. Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi, 2012. "Derivatives traders’ reaction to mispricing in the underlying equity," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2438-2454.
  60. Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
  61. Zhu, Xiaoneng & Zhu, Jie, 2013. "Predicting stock returns: A regime-switching combination approach and economic links," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4120-4133.
  62. repec:dau:papers:123456789/9296 is not listed on IDEAS
  63. Kothari, S.P. & Lewellen, Jonathan & Warner, Jerold B., 2006. "Stock returns, aggregate earnings surprises, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 79(3), pages 537-568, March.
  64. Estrada, Javier, 2009. "The fed model: The bad, the worse, and the ugly," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 214-238, May.
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