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Citations for "Economic Forces and the Stock Market"

by Chen, Nai-Fu & Roll, Richard & Ross, Stephen A

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  1. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  2. Adam, Anokye M. & Tweneboah, George, 2008. "Do macroeconomic variables play any role in the stock market movement in Ghana?," MPRA Paper 9357, University Library of Munich, Germany, revised 2008.
  3. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
  4. Wang, Zhenyu & Zhang, Xiaoyan, 2012. "Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 65-78.
  5. Igor Makarov & D. Papanikolaou, 2008. "Sources of systematic risk," LSE Research Online Documents on Economics 53906, London School of Economics and Political Science, LSE Library.
  6. van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
  7. 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.
  8. Ansgar Belke & Marcel Wiedmann, 2013. "Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models," Ruhr Economic Papers 0435, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  9. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  10. Nitschka, Thomas, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, Elsevier, vol. 22(3), pages 118-124.
  11. William A. Barnett & Shu Wu, 2005. "On user costs of risky monetary assets," Annals of Finance, Springer, vol. 1(1), pages 35-50, 01.
  12. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
  13. Darrat, Ali F & Glascock, John L, 1993. "On the Real Estate Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 7(1), pages 55-72, July.
  14. 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.
  15. John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
  16. Evangelos Karanikas & George Leledakis & Elias Tzavalis, 2006. "Structural Changes in Expected Stock Returns Relationships: Evidence from ASE," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9-10), pages 1610-1628.
  17. Abdou-Aziz Niang & Abdoulaye Diagne & Marie-Claude Pichery, 2011. "Exploring the finance-real economy link in U.S.: empirical evidence from panel unit root and cointegration analysis," Empirical Economics, Springer, vol. 40(1), pages 253-268, February.
  18. Hakim, Abdul & McAleer, Michael, 2009. "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2830-2846.
  19. Eugene Amromin & Steven A. Sharpe, 2005. "From the horse’s mouth: gauging conditional expected stock returns from investor surveys," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages -.
  20. Güntner, Jochen H. F., 2014. "How Do International Stock Markets Respond To Oil Demand And Supply Shocks?," Macroeconomic Dynamics, Cambridge University Press, vol. 18(08), pages 1657-1682, December.
  21. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
  22. Michael Donadelli, 2013. "On the Dynamics of Industrial Stock Market Excess Returns," Working Papers CASMEF 1301, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  23. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
  24. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
  25. Sotiris Staikouras, 2005. "Equity returns of financial institutions and the pricing of interest rate risk," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 499-508.
  26. Verma, Rahul & Ozuna, Teofilo, 2005. "Are emerging equity markets responsive to cross-country macroeconomic movements?: Evidence from Latin America," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 73-87, January.
  27. 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.
  28. Kenbata Bangassa, 2000. "Conditional Performance Evaluation: Empirical Evidence From UK Investment Trusts," Research Papers 2000_21, University of Liverpool Management School.
  29. Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, Department of Economics, University of Venice "Ca' Foscari".
  30. Christian Pierdzioch, 2012. "Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 87-96, May.
  31. Dorofeev Evgeny, 2001. "Economic Factors Influence on the Russian Capital Market Behavior," EERC Working Paper Series 2k/03e, EERC Research Network, Russia and CIS.
  32. Chung, Richard & Kryzanowski, Lawrence, 2001. "Tests of investor cognizance using earnings forecasts of North American analysts," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 187-204.
  33. G. Kling & U. Weitzel, 2009. "Endogenous mergers: Bidder momentum and market reaction," Working Papers 09-22, Utrecht School of Economics.
  34. Gazi Mainul Hassan & Hisham M. Al refai, 2012. "Can macroeconomic factors explain equity returns in the long run? The case of Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1029-1041, July.
  35. Guenther, David A. & Young, Danqing, 2000. "The association between financial accounting measures and real economic activity: a multinational study," Journal of Accounting and Economics, Elsevier, vol. 29(1), pages 53-72, February.
  36. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," NBER Working Papers 10913, National Bureau of Economic Research, Inc.
  37. Nico Valckx, 2004. "The decomposition of US and Euro area stock and bond returns and their sensitivity to economic state variables," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 149-173.
  38. Elie Bouri & Riza Demirer, 2016. "On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 33(1), pages 63-82, April.
  39. Isma Zaighum, 2014. "Impact of Macroeconomic Factors on Non-financial firms Stock Returns: Evidence from Sectorial Study of KSE-100 Index," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 35-48, March.
  40. Jorge Gregoire & Leonardo Letelier, 1998. "Desempeño Económico Agregado y Mercado Accionario: Un Análisis Empírico para el Caso Chileno," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 183-203.
  41. Aggarwal, Raj & Akhigbe, Aigbe & Mohanty, Sunil K., 2012. "Oil price shocks and transportation firm asset prices," Energy Economics, Elsevier, vol. 34(5), pages 1370-1379.
  42. Roselyne Joyeux & George Milunovich, 2015. "Speculative bubbles, financial crises and convergence in global real estate investment trusts," Applied Economics, Taylor & Francis Journals, vol. 47(27), pages 2878-2898, June.
  43. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers.
  44. Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
  45. Sadorsky, Perry, 2012. "Modeling renewable energy company risk," Energy Policy, Elsevier, vol. 40(C), pages 39-48.
  46. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
  47. Javid, Attiya Yasmin, 2008. "Forecasting performance of capital asset pricing models in case of Pakistani market," MPRA Paper 37562, University Library of Munich, Germany.
  48. M. Imtiaz Mazumder, 2010. "Greed, financial innovation or laxity of regulation?," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(2), pages 110-134, August.
  49. Francis X. Diebold & Sean D. Campbell, 2005. "Stock returns and expected business conditions: half a century of direct evidence," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages -.
  50. Rob Bauer & Jeroen Derwall & Rogér Otten, 2007. "The Ethical Mutual Fund Performance Debate: New Evidence from Canada," Journal of Business Ethics, Springer, vol. 70(2), pages 111-124, January.
  51. Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 2006-03, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  52. Ding Du & Pin Ng & Xiaobing Zhao, 2013. "Measuring currency exposure with quantile regression," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 549-566, October.
  53. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
  54. Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
  55. John Ammer & Jianping Mei, 1995. "Strategic returns to international diversification: an application to the equity markets of Europe, Japan, and North America," International Finance Discussion Papers 502, Board of Governors of the Federal Reserve System (U.S.).
  56. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group.
  57. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
  58. Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003. "Reconstructing an economic space from a market metric," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 635-650.
  59. Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri, 2014. "The determinants of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 271-282.
  60. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market," Economic Modelling, Elsevier, vol. 37(C), pages 451-463.
  61. Andreas Humpe & Peter D. Macmillan, 2005. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CRIEFF Discussion Papers 0511, Centre for Research into Industry, Enterprise, Finance and the Firm.
  62. Pierdzioch, Christian & Schertler, Andrea, 2005. "Investing in European Stock Markets for High-Technology Firms," Kiel Working Papers 1265, Kiel Institute for the World Economy (IfW).
  63. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Oil price and stock returns of consumers and producers of crude oil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 245-262.
  64. Dolinar, Denis & Orsag, Silvije & Suman, Paola, 2015. "Test Of The Chen-Roll-Ross Macroeconomic Factor Model: Evidence From Croatian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 185-196.
  65. Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003. "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, vol. 55(2), pages 177-195.
  66. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 185-207, December.
  67. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.
  68. Liang-Chun HO & Chia-Hsing HUANG, 2016. "Nonlinear Relationships between Oil Price and Stock Index – Evidence from Brazil, Russia, India and China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 116-126, September.
  69. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
  70. Patricia Chelley-steeley & Antonios Siganos, 2004. "Momentum profits and macroeconomic factors," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 433-436.
  71. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
  72. Eugene Amromin & Steven A. Sharpe, 2008. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Finance and Economics Discussion Series 2008-17, Board of Governors of the Federal Reserve System (U.S.).
  73. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
  74. Bondia, Ripsy & Ghosh, Sajal & Kanjilal, Kakali, 2016. "International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks," Energy, Elsevier, vol. 101(C), pages 558-565.
  75. Barbara McKiernan, 1997. "Uncertainty and the arbitrage pricing theory," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(3), pages 307-311, September.
  76. Bahmani-Oskooee, Mohsen & Saha, Sujata, 2016. "Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 78-86.
  77. Oberndorfer, Ulrich, 2008. "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers 08-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  78. Filis, George, 2010. "Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?," Energy Economics, Elsevier, vol. 32(4), pages 877-886, July.
  79. Jushan Bai & Shuzhong Shi, 2011. "Estimating High Dimensional Covariance Matrices and its Applications," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 199-215, November.
  80. repec:luc:wpaper:13-4 is not listed on IDEAS
  81. Booth, James R. & Booth, Lena Chua, 2003. "Is presidential cycle in security returns merely a reflection of business conditions?," Review of Financial Economics, Elsevier, vol. 12(2), pages 131-159.
  82. Sainan Jin & Liangjun Su & Yonghui Zhang, 2014. "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers 09-2014, Singapore Management University, School of Economics.
  83. Thomas Lux, 2008. "Applications of Statistical Physics in Finance and Economics," Kiel Working Papers 1425, Kiel Institute for the World Economy.
  84. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Paper Series 2001-01, Federal Reserve Bank of San Francisco.
  85. Martin Schmitz, 2010. "Financial Markets and International Risk Sharing," Open Economies Review, Springer, vol. 21(3), pages 413-431, July.
  86. Hawkesby, Christian & Marsh, Ian W. & Stevens, Ibrahim, 2007. "Comovements in the equity prices of large complex financial institutions," Journal of Financial Stability, Elsevier, vol. 2(4), pages 391-411, March.
  87. Ivan Medovikov, 2014. "When does the stock market listen to economic news? New evidence from copulas and news wires," Papers 1410.8427, arXiv.org.
  88. Du, Ding & Denning, Karen & Zhao, Xiaobing, 2012. "Real aggregate activity and stock returns," Journal of Economics and Business, Elsevier, vol. 64(5), pages 323-337.
  89. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, 02.
  90. Gangopadhyay, Partha & Reinganum, Marc R., 1996. "Interpreting mean reversion in stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 377-394.
  91. Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
  92. Daniel, Kent & Hirshleifer, David & Subrahmanyam, Avanidhar, 2005. "Investor Psychology and Tests of Factor Pricing Models," Working Paper Series 2005-26, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  93. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  94. Kouwenberg, Roy & Salomons, Roelof, 2003. "Value investing in emerging markets : local macroeconomic risk and extrapolation," Research Report 03E22, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  95. Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila, 2011. "Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2011-03, University of Bayreuth, Chair of Finance and Banking.
  96. Tobias Schlueter & Soenke Sievers, 2014. "Determinants of market beta: the impacts of firm-specific accounting figures and market conditions," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 535-570, April.
  97. Anjeza Kadilli, 2014. "Return Predictability in International Financial Markets and the Role of Investor Sentiment," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 14083, Institut d'Economie et Econométrie, Université de Genève.
  98. 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.
  99. Sarantis Tsiaplias, 2007. "The Macroeconomic Content of Equity Market Factors," Melbourne Institute Working Paper Series wp2007n23, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  100. Chih-Ling Tsai & Hansheng Wang & Ning Zhu, 2010. "Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(1), pages 109-116, February.
  101. Ouysse, Rachida, 2006. "Consistent variable selection in large panels when factors are observable," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 946-984, April.
  102. Karapanagiotidis, Paul, 2014. "Dynamic State-Space Models," MPRA Paper 56807, University Library of Munich, Germany.
  103. Gregoriou, Andros & Hunter, John & Wu, Feng, 2009. "An empirical investigation of the relationship between the real economy and stock returns for the United States," Journal of Policy Modeling, Elsevier, vol. 31(1), pages 133-143.
  104. Dayanandan, Ajit & Donker, Han, 2011. "Oil prices and accounting profits of oil and gas companies," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 252-257.
  105. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  106. Tomohiro Ando & Jushan Bai, 2016. "Panel Data Models with Grouped Factor Structure Under Unknown Group Membership," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 163-191, 01.
  107. Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 213-224, May.
  108. Nozawa, Yoshio, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
  109. Antoniou, Antonios & Garrett, Ian & Priestley, Richard, 1998. "Calculating the equity cost of capital using the APT: the impact of the ERM," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 949-965, December.
  110. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2014. "The impact of oil price shocks on U.S. bond market returns," Energy Economics, Elsevier, vol. 44(C), pages 248-258.
  111. Veiga, Helena & Ramos, Sofía B. & Martín-Barragán, Belén, 2013. "Correlations between oil and stock markets : a wavelet-based approach," DES - Working Papers. Statistics and Econometrics. WS ws130504, Universidad Carlos III de Madrid. Departamento de Estadística.
  112. 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.
  113. Chiang, Thomas C. & Doong, Shuh-Chyi, 1999. "Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data," Global Finance Journal, Elsevier, vol. 10(2), pages 187-200.
  114. Singhal, Shelly & Ghosh, Sajal, 2016. "Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models," Resources Policy, Elsevier, vol. 50(C), pages 276-288.
  115. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  116. Bohl, Martin T. & Gottschalk, Katrin, 2006. "International evidence on the Democrat premium and the presidential cycle effect," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 107-120, August.
  117. Vassalou, Maria, 2000. "Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns," CEPR Discussion Papers 2448, C.E.P.R. Discussion Papers.
  118. Chauvet, Marcelle & Potter, Simon, 2000. "Coincident and leading indicators of the stock market," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 87-111, May.
  119. 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.
  120. Edward Nelling & Joseph Gyourko, 1998. "The Predictability of Equity REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 251-268.
  121. Martikainen, Teppo & Perttunen, Jukka & Yli-Olli, Paavo & Gunasekaran, A., 1996. "On the impact of infrequent trading on the APT systematic risk components -- Evidence from a thin security market," European Journal of Operational Research, Elsevier, vol. 88(1), pages 23-27, January.
  122. Subhani, Muhammad Imtiaz & Osman, Amber & Gul, Ameet, 2010. "Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data," MPRA Paper 26375, University Library of Munich, Germany, revised 02 Nov 2010.
  123. Elton, Edwin J. & Gruber, Martin J., 1997. "Modern portfolio theory, 1950 to date," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1743-1759, December.
  124. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
  125. Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc.
  126. 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.
  127. Jank, Stephan, 2011. "Mutual fund flows, expected returns, and the real economy," CFR Working Papers 11-04, University of Cologne, Centre for Financial Research (CFR).
  128. Stefania D'Amico & Don H Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," BIS Working Papers 248, Bank for International Settlements.
  129. S. N. Markoulis & N. Neofytou, 2016. "An Empirical Analysis of the Relationship between Oil Prices and Stock Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(12), pages 120-131, December.
  130. 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.
  131. Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
  132. Tien Foo Sing, 2004. "Common risk factors and risk premia in direct and securitized real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 21(3), pages 189-207, December.
  133. Kwon, Chung S. & Shin, Tai S., 1999. "Cointegration and causality between macroeconomic variables and stock market returns," Global Finance Journal, Elsevier, vol. 10(1), pages 71-81.
  134. Rajan, Murli & Friedman, Joseph, 1997. "An examination of the impact of country risk on the international portfolio selection decision," Global Finance Journal, Elsevier, vol. 8(1), pages 55-70.
  135. Spronk, Jaap & Hallerbach, Winfried, 1997. "Financial modelling: Where to go? With an illustration for portfolio management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 113-125, May.
  136. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working papers 2014-26, University of Connecticut, Department of Economics.
  137. Cheng, Ai-ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2009. "An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa," MPRA Paper 13437, University Library of Munich, Germany.
  138. Brennan, Michael J. & Kraft, Holger, 2015. "Leaning against the wind: Debt financing in the face of adversity," SAFE Working Paper Series 119, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  139. Jiranyakul, Komain, 2009. "Economic Forces and the Thai Stock Market, 1993-2007," MPRA Paper 57368, University Library of Munich, Germany.
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