Long-term output growth as a predictor of stock returns

Applied Financial Economics

Volumn 6, Issue 5, 1996, Pages 421-432

  Lee, Kiseok ^a  

^a UNIVERSITY OF MISSOURI   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040597386     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031096334051     Document Type: Article

References (29)

1. Abel, A. B. (1988) Stock prices under time-varying dividend risk - an exact solution in an infinite-horizon general equilibrium model, Journal of Monetary Economics, 22, 375-93.
2. Balvers, R. J.,Cosimano,T. F. and McDonald, B. (1990) Predicting stock returns in an efficient market, Journal of Finance, XLV, 1109-28.
3. Barro, R. J. (1990) The stock market and investment, Review of Financial Studies, 3, 115-31.
4. Breeden, D. T. (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7, 265-96.
5. Chen, N.-F. (1991) Financial investment opportunities and the macroeconomy, Journal of Finance, XLVI, 529-54.
6. Cochrane, J. H. (1989) The return of the liquidity effect: a study of the short-run relation between money growth and interest rates, Journal of Business and Economic Statistics, 7, 75-83.
7. Cox, J. C., Ingersoll, J. E. Jr and Ross, S. A. (1985) An intertemporal general equilibrium model of asset prices, Econometrica, 53, 363-84.
8. Engle, R. F. (1974) Band spectrum regression, International Economic Review, 15, 1-11.
9. Engle, R. F. (1978) Testing price equations for stability across spectral frequency bands, Econometrica, 46, 869-81.
10. Fama, E. F. (1981) Stock returns, real activity, inflation and money, American Economic Review, 71, 545-65.
11. Fama, E. F. (1990) Stock returns, expected returns, and real activity, Journal of Finance, 45, 1089-1108.
12. Ferson, W. E. and Harvey, C. R. (1993) The risk and predictability of international equity returns, Review of Financial Studies, 6, 527-66.
13. Friedman, M. (1957) A Theory of Consumption Function, Princeton University Press, Princeton, NJ.
14. Geske, R. and Roll R. (1983) The monetary and fiscal linkage between stock returns and inflation, Journal of Finance, 38, 1-33.
15. Geweke, J. (1982) Measurement of linear dependence and feedback between multiple time series, Journal of the American Statistical Association, 77, 304-14.
16. Geweke, J. (1984) Measures of conditional linear dependence and feedback between time series, Journal of the American Statistical Association, 79, 907-15.
17. Harvey, A. C. (1978) Linear regression in the frequency domain, International Economic Review, 19, 507-12.
18. Kaul, G. (1987) Stock returns and inflation: the role of the monetary sector, Journal of Financial Economics, 18, 253-76.
19. Lee, B. S. (1992) Causal relations among stock returns, interest rates, real activity, and inflation, Journal of Finance, XLVII, 1591-1603.
20. Lee, K. (1996) An economic application of time-domain Chebyshev filters: a test of the permanent income hypothesis, The Statistician, 45, 65-76.
21. Ludeman, L. C. (1986) Fundamentals of Digital Signal Processing, Harper & Row , New York.
22. Newey, W. K. and West, K. D. (1987) A simple positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
23. Oppenheim, A. V. and Schafer, R. W. (1975) Digital Signal Processing, Prentice Hall, Englewood Cliffs, NJ.
24. Rubinstein, M. (1976) The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics, 7, 407-25.
25. Sargent, T. J. (1979) Macroeconomic Theory, Academic Press, Orlando, FL.
26. Schwert, G. W. (1983) Size and stock returns, and other empirical regularities, Journal of Financial Economics, 12, 3-12.
27. Shah, H. (1989) PhD Thesis, Graduate School of Business, University of Chicago.
28. Shiller, R. J. (1981) Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421-36.
29. West, K. D. (1988) Dividend innovations and stock price volatility, Econometrica, 56, 37-61.