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Stock prices, inflation, and the term structure of interest rates

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  • Long, John Jr.

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  • Long, John Jr., 1974. "Stock prices, inflation, and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 1(2), pages 131-170, July.
    • Handle: RePEc:eee:jfinec:v:1:y:1974:i:2:p:131-170
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    Cited by:

    1. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk–Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, June.
    2. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
    3. 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.
    4. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
    5. Miller, Lynn H. & Sherrick, Bruce J., 1991. "An Examination Of Farm Real Estate Return Definitions. Inflationary Effects, And The Riskiness Of Nonland Farm Equity," Illinois Agricultural Economics Staff Paper 244668, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    6. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December.
    7. Dennis Sibanda & Job Dubihlela, 2013. "Factors That Impede Viable Bond Market Development In One Hyperinflationary Economy," Review of Business and Finance Studies, The Institute for Business and Finance Research, vol. 4(1), pages 107-118.
    8. Melino, Angelo, 1988. "The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-366.
    9. Kent Wang, 2009. "Market Price of Risk: A Comparison among the United States, United Kingdom, Australia and Japan," International Review of Finance, International Review of Finance Ltd., vol. 9(4), pages 405-429, December.
    10. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
    11. Jagannathan, Ravi & Wang, Zhenyu, 1996. "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    12. Jorge H. del Castillo-Spíndola, 2006. "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(2), pages 275-297.
    13. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722, Elsevier.
    14. Byun, Jong-Cook & Chen, Son-Nan, 1996. "International real interest rate parity with error correction models," Global Finance Journal, Elsevier, vol. 7(2), pages 129-151.
    15. Bruce K. Gouldey, 1980. "Evidence Of Nonmarket Risk Premiums In Common Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 243-260, September.
    16. Jang, Jeewon & Kang, Jangkoo, 2017. "An intertemporal CAPM with higher-order moments," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 314-337.
    17. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
    18. W. B. Brueggeman & A. H. Chen & T. G. Thibodeau, 1984. "Real Estate Investment Funds: Performance and Portfolio Considerations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 333-354, September.
    19. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    20. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
    21. Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 129-144, March.
    22. J.A. Schnabel, 1980. "A Note On Inflation, The Capital Asset Pricing Model, And Beta Estimation With Nominal Data," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 261-267, September.
    23. Massomeh Hajilee & Farhang Niroomand, 2018. "The impact of interest rate volatility on financial market inclusion: evidence from emerging markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 352-368, April.
    24. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.

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