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Stock Returns, Real Activity, Inflation, and Money
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This article is published in The American Economic Review.The article was published on 1981-01-01 and is currently open access. It has received 2691 citations till now. The article focuses on the topics: Stock market bubble & Stock exchange.read more
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Efficient Capital Markets: II
TL;DR: A review of the market efficiency literature can be found in this article, where the authors discuss the work that they find most interesting, and offer their views on what we have learned from the research on market efficiency.
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Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
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Dividend yields and expected stock returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the power of dividend yields to forecast stock returns, measured by regression R2, increases with the return horizon, and the authors offer a two-part explanation: high autocorrelation causes the variance of expected returns to grow faster than the return-horizon.
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Size and Book-to-Market Factors in Earnings and Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, the authors study whether the behavior of stock prices, in relation to size and book-tomarket-equity (BE/ME), reflects the behaviour of earnings and find no link between BE/ME factors in earnings and returns.
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A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
Ivo Welch,Amit Goyal +1 more
TL;DR: The authors comprehensively reexamine the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium and find that by and large, these models have predicted poorly both in-sample and out-of-sample (OOS) for 30 years now.
References
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Expectations and the neutrality of money
TL;DR: In this article, the authors provide a simple example of an economy in which equilibrium prices and quantities exhibit what may be the central feature of the modern business cycle: a systematic relation between the rate of change in nominal prices and the level of real output.
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Asset returns and inflation
TL;DR: In this article, the authors estimate the extent to which various assets were hedges against the expected and unexpected components of the inflation rate during the 1953-1971 period and find that U.S. government bonds and bills were a complete hedge against expected inflation, and private residential real estate was a complete hedging against both expected and expected inflation.
Related Papers (5)
Business conditions and expected returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more