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Citations for "Inflation and Rates of Return on Common Stocks"

by Nelson, Charles R

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  1. Robert Johnson, 2000. "Monetary policy and real estate returns," Journal of Economics and Finance, Springer, vol. 24(3), pages 283-293, September.
  2. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
  3. Nasir Iqbal & Saima Nawaz, 2009. "Investment, Inflation and Economic Growth Nexus," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 48(4), pages 863–874.
  4. Flavin, T. J. & Wickens, M. R., 2003. "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, Elsevier, vol. 12(2), pages 207-231.
  5. Thomas A. Lawler, 1978. "Uncertain inflation, systematic risk, and the capital asset pricing model," Working Paper 78-02, Federal Reserve Bank of Richmond.
  6. Paul Alagidede & Theodore Panagiotidis, 2010. "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Discussion Paper Series 2010_06, Department of Economics, University of Macedonia, revised Apr 2010.
  7. Patricia Chelley-steeley & Antonios Siganos, 2004. "Momentum profits and macroeconomic factors," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 433-436.
  8. Martin Hoesli & Colin Lizieri & Bryan MacGregor, . "The Inflation Hedging Characteristics of US and UK Investments: A Multifactor Error Correction Approach," Swiss Finance Institute Research Paper Series 06-04, Swiss Finance Institute.
  9. Stanley Fischer & Franco Modigliani, 1978. "Towards An Understanding of the Real Effects and Costs of Inflation," NBER Working Papers 0303, National Bureau of Economic Research, Inc.
  10. Nikhil Rastogi & V.N. Reddy & Kiran Kumar Kotha, 2013. "Order imbalance and returns: evidence from India," International Journal of Managerial Finance, Emerald Group Publishing, vol. 9(2), pages 92-109, March.
  11. Sirucek, Martin, 2013. "Impact of money supply on stock bubbles," MPRA Paper 51476, University Library of Munich, Germany.
  12. Choudhry, Taufiq, 2001. "Inflation and rates of return on stocks: evidence from high inflation countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 75-96, March.
  13. Najand, Mohammad & Noronha, Gregory, 1998. "Causal relations among stock returns, inflation, real activity, and interest rates: Evidence from Japan," Global Finance Journal, Elsevier, vol. 9(1), pages 71-80.
  14. Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
    • Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  15. 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.
  16. Martin Feldstein, 1983. "Inflation and the Stock Market," NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 186-198 National Bureau of Economic Research, Inc.
  17. Lee, S. R. & Tang, D. P. & Wong, K. Matthew, 2000. "Stock returns during the German hyperinflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 375-386.
  18. Kabir, Sarkar Humayun & Masih, Mansur, 2014. "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper 57007, University Library of Munich, Germany.
  19. Rapach, David E., 2001. "Macro shocks and real stock prices," Journal of Economics and Business, Elsevier, vol. 53(1), pages 5-26.
  20. 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.
  21. Michael T. Bond & James R. Webb, 1995. "Real Estate versus Financial Asset Returns and Inflation: Can a P* Trading Strategy Improve REIT Investment Performance?," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 327-334.
  22. Pindyck, Robert S., 1983. "Risk, inflation, and the stock market," Working papers 1423-83., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  23. Chang-Tesh Hsieh & Iskandar Hamwi & Tim Hudson, 2002. "An inflation-hedging portfolio selection model," International Advances in Economic Research, International Atlantic Economic Society, vol. 8(1), pages 20-34, February.
  24. Malliaropulos, Dimitrios, 1998. "International stock return differentials and real exchange rate changes," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 493-511, June.
  25. Robert J. Barro, 1980. "Intertemporal Substitution and the Business Cycle," NBER Working Papers 0490, National Bureau of Economic Research, Inc.
  26. Branston, Christopher B. & Groenewold, Nicolaas, 2004. "Investment and share prices: fundamental versus speculative components," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 199-226, August.
  27. V. Vance Roley & Douglas K. Pearce, 1988. "Firm characteristics, unanticipated inflation, and stock returns," Research Working Paper 88-01, Federal Reserve Bank of Kansas City.
  28. Elisabeth Huybens & Bruce D. Smith, 1997. "Inflation, Financial Markets and Long-Run Real Activity," Working Papers 9707, Centro de Investigacion Economica, ITAM.
  29. Alfonso Novales & Pilar Abad, 2002. "Risk Premia in the Term Structure of Swaps in Pesetas," Documentos de Trabajo del ICAE 0219, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  30. Shahbaz, Muhammad & Islam, Faridul, 2010. "Stocks as Hedge against Inflation in Pakistan: Evidence from ARDL Approach," MPRA Paper 30970, University Library of Munich, Germany, revised 23 Mar 2011.
  31. 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.
  32. Arshad Hasan & M. Tariq Javed, 2009. "An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 14(1), pages 115-137, Jan-Jun.
  33. Kryzanowski, Lawrence & Rahman, Abdul H., 2009. "Generalized Fama proxy hypothesis: Impact of shocks on Phillips curve and relation of stock returns with inflation," Economics Letters, Elsevier, vol. 103(3), pages 135-137, June.
  34. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  35. Patric H. Hendershott & Roger D. Huang, 1983. "Debt and Equity Yields: 1926-80," NBER Working Papers 1142, National Bureau of Economic Research, Inc.
  36. Barnes, Michelle & Boyd, John H. & Smith, Bruce D., 1999. "Inflation and asset returns," European Economic Review, Elsevier, vol. 43(4-6), pages 737-754, April.
  37. N. Groenewold, 2000. "Fundamental Share Prices and Aggregate Real Output," Economics Discussion / Working Papers 00-05, The University of Western Australia, Department of Economics.
  38. Gurgul, Henryk & Suliga, Milena & Wójtowicz, Tomasz, 2012. "Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements," MPRA Paper 68578, University Library of Munich, Germany, revised 2012.
  39. Siti Muliana Samsi & Zarinah Yusof & Kee-Cheok Cheong, 2012. "Linkages Between the Real Sector and the Financial Sector: The Case of Malaysia," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 8(Supp. 1), pages 93-113.
  40. Cohn, Richard A. & Lessard, Donald R., 1980. "The effect of inflation on stock prices : international evidence," Working papers 1147-80., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  41. Robert J. Shiller, 1979. "Can the Fed Control Real Interest Rates?," NBER Working Papers 0348, National Bureau of Economic Research, Inc.
  42. Samih Antoine Azar, 2013. "The Spurious Relation between Inflation Uncertainty and Stock Returns: Evidence from the U.S," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 99-109, November.
  43. Douglas K. Pearce & V. Vance Roley, 1982. "The Reaction of Stock Prices to Unanticipated Changes in Money," NBER Working Papers 0958, National Bureau of Economic Research, Inc.
  44. 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.
  45. Grant McQueen & V. Vance Roley, 1990. "Stock Prices, News, and Business Conditions," NBER Working Papers 3520, National Bureau of Economic Research, Inc.
  46. Du, Ding, 2006. "Monetary policy, stock returns and inflation," Journal of Economics and Business, Elsevier, vol. 58(1), pages 36-54.
  47. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
  48. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York.
  49. Floros, C., 2004. "Stock Returns and Inflation in Greece," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(2).
  50. Ka-Fu Wong & Hai-Jun Wu, 2003. "Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.1," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 917-923.
  51. 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.
  52. Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 166-178.
  53. Mete Feridun, 2005. "Impact of Macroeconomic Announcements on the Stock Prices: An Empirical Study on the Turkish Financial Services Sector," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 10(2), pages 75-86, Jul-Dec.
  54. Solnik, Bruno & Solnik, Vincent, 1997. "A multi-country test of the Fisher model for stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 289-301, December.
  55. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  56. Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 763-769.
  57. Lizardo, Radhamés A. & Mollick, André V., 2009. "Do foreign purchases of U.S. stocks help the U.S. stock market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 969-986, December.
  58. 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.
  59. Dragos Stefan Oprea, 2014. "The Fisher effect: Evidence from the Romanian Stock Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(5), pages 637-644, May.
  60. Madsen, Jakob B., 2002. "The share market boom and the recent disinflation in the OECD countries: the tax-effects, the inflation-illusion and the risk-aversion hypotheses reconsidered1," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 115-141.
  61. repec:usm:journl:aamjaf00811__93-113 is not listed on IDEAS
  62. Alagidede, Paul & Panagiotidis, Theodore, 2012. "Stock returns and inflation: Evidence from quantile regressions," Economics Letters, Elsevier, vol. 117(1), pages 283-286.
  63. 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.
  64. Nawalkha, Sanjay K., 1996. "A contingent claims analysis of the interest rate risk characteristics of corporate liabilities," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 227-245, March.
  65. Modigliani, Franco. & Cohn, Richard A., 1984. "Inflation and corporate financial management," Working papers 1572-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  66. 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.
  67. Michael T. Bond & Michael J. Seiler, 1998. "Real Estate Returns and Inflation: An Added Variable Approach," Journal of Real Estate Research, American Real Estate Society, vol. 15(3), pages 327-338.
  68. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
  69. 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.
  70. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 721-740.
  71. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.
  72. Jakob Madsen, 2007. "Pitfalls in estimates of the relationship between stock returns and inflation," Empirical Economics, Springer, vol. 33(1), pages 1-21, July.
  73. 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.
  74. Omran, Mohammed & Pointon, John, 2001. "Does the inflation rate affect the performance of the stock market? The case of Egypt," Emerging Markets Review, Elsevier, vol. 2(3), pages 263-279, September.
  75. Javid, Attiya Yasmin & Ahmad, Eatzaz, 2008. "Testing multifactor capital asset pricing model in case of Pakistani market," MPRA Paper 37341, University Library of Munich, Germany.
  76. 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.
  77. Madsen, Jakob B., 2005. "The Fisher hypothesis and the interaction between share returns, inflation and supply shocks," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 103-120, February.
  78. Akturk, Halit, 2014. "Do Stock Returns Provide a Good Hedge Against Inflation? An Empirical Assessment Using Turkish Data during Periods of Structural Change," MPRA Paper 64465, University Library of Munich, Germany.
  79. Patric H. Hendershott & Roger D. Huang, 1985. "Debt and Equity Yields, 1926-1980," NBER Chapters, in: Corporate Capital Structures in the United States, pages 117-166 National Bureau of Economic Research, Inc.
  80. Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014. "Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia," MPRA Paper 56987, University Library of Munich, Germany.
  81. 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.
  82. Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek, 2013. "Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market," MPRA Paper 46528, University Library of Munich, Germany.
  83. Abbigail J. Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2003. "Subjective probabilities: psychological evidence and economic applications," Working Papers 2003-009, Federal Reserve Bank of St. Louis.
  84. Lajeri, Fatma & Dermine, Jean, 1999. "Unexpected inflation and bank stock returns: The case of France 1977-1991," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 939-953, June.
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