Stock Returns and the Term Structure

Keywords

Stock (firearms), Term (time), Business, Financial economics, Economics

References

• Asset duration and time-varying risk premiaJohn Y. Campbell — 1985
• Stock Returns, Real Activity, Inflation, and MoneyEugene F. Fama — 1981
• Exact linear rational expectations models: specification and estimationThomas J. Sargent, Lars Peter Hansen — 1981
• Risk, Inflation, and the Stock MarketRobert S. Pindyck — 1983
• Inflation and the Stock MarketMartin Feldstein — 1978
• MULTIVARIATE TESTS OF FINANCIAL MODELS A New ApproachMichael R. Gibbons — 1982
• The Bias of a Heteroskedasticity Consistent Covariance Matrix EstimatorAndrew Chesher, Ian Jewitt — 1987
• Expected stock returns and volatilityKenneth R. French, G. William Schwert, Robert F. Stambaugh — 1987
• Expectations Models of Asset Prices: A Survey of TheoryStephen F. LeRoy — 1982
• A Re‐examination of Traditional Hypotheses about the Term Structure of Interest RatesJohn C. Cox, Jonathan E. Ingersoll, Stephen A. Ross — 1981
• Predicting returns in the stock and bond marketsDonald B. Keim, Robert F. Stambaugh — 1986
• Conditional variance and the risk premium in the foreign exchange marketIan Domowitz, Craig S. Hakkio — 1985
• Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties☆James G. MacKinnon, Halbert White — 1985
• Asset returns and inflationEugene F. Fama, G. William Schwert — 1977
• Forward Rates and Future Policy: Interpreting the Term Structure of Interest RatesRobert J. Shiller, John Y. Campbell, Kermit L. Schoenholtz — 1983
• Inflation Uncertainty and Expected Returns on Treasury BillsEugene F. Fama — 1976
• Admissible uncertainty in the intertemporal asset pricing modelGeorge M. Constantinides — 1980
• The Fiscal and Monetary Linkage between Stock Returns and InflationRobert Geske, Richard Roll — 1983
• Estimating Time Varying Risk Premia in the Term Structure: The Arch-M ModelRobert F. Engle, David M. Lilien, Russell P. Robins — 1987
• The information in the term structureEugene F. Fama — 1984

Cited by

• Stock Return, Volatility And The Global Financial Crisis In An Emerging Market: The Nigerian CaseRufus Ayodeji — 2009
• Beta and Book-to-Market: Is the Glass Half Full or Half Empty?S.P. Kothari, Jay Shanken — 1998
• Do Macroeconomic Variables Predict Aggregate Stock Market VolatilityBradley S. Paye — 2008
• Essays in cross-sectional asset pricingScott Cederburg — 2011
• A comparison of linear regression and neural network methods for predicting excess returns on large stocksVijay S. Desai, Rakesh Bharati — 1998
• The U.S. Dollar Safety PremiumMatteo Maggiori — 2013
• ICAPM and the Accruals AnomalyHui Guo, Paulo F. Maio — 2020
• Stock Return Predictability in a Monetary EconomyAbraham Lioui, Jesper Rangvid — 2007
• Modified multidimensional scaling approach to analyze financial markets.Wendy O'Conghaile — 2014
• Forecasting stock index prices and domestic credit: Does cointegration help?Jonas Andersson, Svein Oskar Lauvsnes — 2007
• Forecasting the Equity Premium and Optimal PortfoliosJohan Bjurgert, Marcus Edstrand — 2008
• Three Essays on Return Predictability and Decentralized Investment ManagementDashan Huang — 2013
• Relationship between Interest Rate and Bank Common Stock Return: Evidence from the Top 10 United States Banks and Financial Sector IndexHieu Tran — 2013
• Predictability of Shariah-Compliant Stock and Real Estate InvestmentsTien Foo Sing, Loh Kok Weng — 2014
• Expectations of equity risk premia, volatility and asymmetryJohn R. Graham, Campbell R. Harvey, Wayne E. Ferson — 2003
• A Three-Moment International Asset-Pricing Model: Theory and EvidenceVihang R. Errunza, Oumar Sy — 2005
• The Relationship Between the Stock Markets and the Real Economy: The Informative Role of the Stok Maeket Sectors.Diogo Filipe de Barros Rolo — 2011
• Attention on Volatility and OptionsYan Xu, Shu Yan, Yuzhao Zhang — 2017
• Determinants of insurance companies' stock return in GCC countriesHamdan Ahmed Ali Al-Shami — 2013
• Are investor sentiments priced by the CAPMRahul Verma, Gökçe Soydemir — 2012

Related papers

• Consumption, Aggregate Wealth and Expected Stock ReturnsMartin Lettau, Sydney C. Ludvigson — 1999
• The Dividend-Price Ratio and Expectations of Future Dividends and Discount FactorsJohn Y. Campbell, Robert J. Shiller — 1988
• Dividend yields and expected stock returnsEugene F. Fama, Kenneth R. French — 1988
• Stock Return Predictability: Is it There?Andrew Ang, Geert Bekaert — 2001
• BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDSEugene F. Fama, Kenneth R. French — 1989
• Expected stock returns and volatilityKenneth R. French, G. William Schwert, Robert F. Stambaugh — 1987
• The Dog that did not Bark: A Defense of Return PredictabilityJohn H. Cochrane — 2006
• Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and MeasurementRobert J. Hodrick — 1992
• Predicting returns in the stock and bond marketsDonald B. Keim, Robert F. Stambaugh — 1986
• Common risk factors in the returns on stocks and bondsEugene F. Fama, Kenneth R. French — 1993