Access the full text.
Sign up today, get DeepDyve free for 14 days.
Campbell Campbell (1987)
Stock returns and the term structureJournal of Financial Economics, 18
R. Merton (1973)
AN INTERTEMPORAL CAPITAL ASSET PRICING MODELEconometrica, 41
J. Detemple, F. Zapatero (1992)
OPTIMAL CONSUMPTION-PORTFOLIO POLICIES WITH HABIT FORMATIONMathematical Finance, 2
J. Cox, J. Ingersoll, S. Ross (1985)
AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICESEconometrica, 53
N. Chen, Richard Roll, S. Ross (1986)
Economic Forces and the Stock MarketThe Journal of Business, 59
Estrella Estrella, Hardouvelis Hardouvelis (1990)
The term structure as a predictor of real activityJournal of Finance, 46
E. Fama, K. French (1988)
Permanent and Temporary Components of Stock PricesJournal of Political Economy, 96
E. Fama (1990)
Term-structure forecasts of interest rates, inflation and real returnsJournal of Monetary Economics, 25
E. Fama, R. Bliss (1987)
The Information in Long-Maturity Forward RatesThe American Economic Review, 77
M. Feldstein (1981)
Inflation, Tax Rules, and the Accumulation of Residential and Nonresidential CapitalERN: Personal Income & Other Non-Business Taxes & Subsidies (Topic)
Andrew Abel (1988)
Stock Prices Under Time-Varying Dividend Risk: an Exact Solution in an Infinite-Horizon General Equilibrium ModelNBER Working Paper Series
E. Fama, K. French (1989)
BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDSJournal of Financial Economics, 25
Robert Litterman, Laurence Weiss (1983)
Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. DataEuropean Economics: Macroeconomics & Monetary Economics eJournal
E. Fama, G. Schwert (1977)
Asset returns and inflationJournal of Financial Economics, 5
E. Fama, K. French (1988)
Dividend yields and expected stock returnsJournal of Financial Economics, 22
W. Sharpe (1964)
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*Journal of Finance, 19
R. Lucas (1978)
ASSET PRICES IN AN EXCHANGE ECONOMYEconometrica, 46
(1986)
Why Don't the Prices of Stocks and Bonds Move Together?
K. French, G. Schwert, R. Stambaugh (1987)
Expected stock returns and volatilityJournal of Financial Economics, 19
Kevin Murphy, R. Topel (1985)
Estimation and Inference in Two-Step Econometric ModelsJournal of Business & Economic Statistics, 20
E. Fama (1970)
Multiperiod Consumption-Investment DecisionsThe American Economic Review, 60
Michael Rozeff (1984)
Dividend yields are equity risk premiums, 11
S. Ross (1976)
The arbitrage theory of capital asset pricingJournal of Economic Theory, 13
Douglas Breeden (1986)
Consumption, Production, Inflation and Interest Rates: A SynthesisMacroeconomics: Production & Investment eJournal
Kalok Chan, N. Chen, David Hsieh (1985)
An exploratory investigation of the firm size effectJournal of Financial Economics, 14
E. Fama (1981)
Stock Returns, Real Activity, Inflation, and MoneyThe American Economic Review, 71
M. Rubinstein. (1976)
The Valuation of Uncertain Income Streams and the Pricing of Options
S. Sundaresan (1989)
Intertemporally Dependent Preferences and the Volatility of Consumption and WealthReview of Financial Studies, 2
Donald Keim, R. Stambaugh (1986)
Predicting returns in the stock and bond marketsJournal of Financial Economics, 17
J. Campbell (1985)
Stock Returns and the Term StructureNBER Working Paper Series
W. Brock (1982)
Asset Prices in a Production Economy
E. Fama (1990)
Stock Returns, Expected Returns, and Real ActivityJournal of Finance, 45
Douglas Breeden (1979)
An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment OpportunitiesERN: Asset Pricing Models (Topic)
Merton Merton (1973)
An intertemporal asset pricing modelEconometrica, 41
A. Estrella, G. Hardouvelis (1991)
The term structure as a predictor of real economic activity
G. Constantinides (1990)
Habit Formation: A Resolution of the Equity Premium PuzzleJournal of Political Economy, 98
J. Lintner (1965)
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETSThe Review of Economics and Statistics, 47
Whitney Newey, K. West (1986)
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance MatrixEconometrics eJournal
A. Pagan (1984)
Econometric Issues in the Analysis of Regressions with Generated Regressors.International Economic Review, 25
ABSTRACT This paper studies the relation between changes in financial investment opportunities and changes in the macroeconomy. States variables such as the lagged production growth rate, the default premium, the term premium, the short‐term interest rate and the market dividend‐price ratio are shown to be indicators of recent and future economic growth. Further, the market excess return is negatively correlated with recent economic growth and positively correlated with expected future economic growth. These results offer straightforward interpretations of recent evidence on the forecasts of the market excess return by state variable via their forecasts on the macroeconomy.
The Journal of Finance – Wiley
Published: Jun 1, 1991
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.