The long-run equilibrium relationship between economic activity and hospitality stock prices

Journal of Hospitality Financial Management

Volumn 14, Issue 1, 2006, Pages 1-15

  Chen, Ming Hsiang ^a   Kim, Woo Gon ^b  

^a NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

^b OKLAHOMA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85013399825     PISSN: 10913211     EISSN: None     Source Type: Journal    
DOI: 10.1080/10913211.2006.10653811     Document Type: Article

References (39)

1. Asprem, M. (1989). Stock prices, asset portfolios and macroeconomic variables in ten European countries. Journal of Banking and Finance, 13 (4/5), 589-612.
2. Barrows, C. W., & Naka, A. (1994). Use of macroeconomic variables to evaluate selected hospitality stock returns in the U.S. International Journal of Hospitality Management, 13 (2), 119-128.
3. Benassy, J. (1982). The economics of market disequilibrium. New York: Academic Press.
4. Booth, J. R., & Booth L. C. (1997). Economic factors, monetary policy, and expected returns on stocks and bonds. Economic Review—Federal Reserve Bank of San Francisco, 2, 32-42.
5. Borde, S. F. (1998). Risk diversity across restaurants. Cornell Hotel and Restaurant Administration Quarterly, 39 (2), 64-69.
6. Bulmash, S. B., & Trivoli, G. W. (1991). Time-lagged interactions between stock prices and selected economic variables. Journal of Portfolio Management, 17 (4), 61-67.
7. Campbell, J. Y. (1987). Stock returns and the term structure. Journal of Financial Economics, 18 (2), 373-399.
8. Chen M. H. (2007). Macro and non-macro explanatory factors of Chinese hotel stock returns. International Journal of Hospitality Management, in press.
9. Chen M. H., Kim, W. G., & Kim, H. J. (2005). The impact of macroeconomic and non- macroeconomic forces on hotel stock returns. International Journal of Hospitality Management, 24, 243-258.
10. Chen N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59 (3), 383-403.
11. Cheung, Y. W., & Ng, F. K. (1998). International evidence on the stock market and aggre¬gate economic activity. Journal of Empirical Finance, 5, 281-296.
12. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
13. Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representa¬tion, estimation and testing. Econometrica, 55, 251-276.
14. Fama, E. F. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71 (4), 545-565.
15. Fama, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22 (1), 3-25.
16. Fama, E. F., & Schwert, W. (1977). Asset returns and inflation. Journal of Financial Economics, 5,115-146.
17. Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. Journal of Finance, 38,1-30.
18. Gu, Z., & Kim, H. (2002). Determinants of restaurant systematic risk: A reexamination. Journal of Hospitality Financial Management, 10 (1), 1-13.
19. Judge, G. G., Griffiths, W. E., Hill, R. C., Lutkepohl, H. & Lee, T. C. (1985). The theory and practice of econometrics (2nd ed.). New York: Wiley.
20. Jarque, C. M., & Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6 (3), 255-259.
21. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254.
22. Johansen, S., & Juselius, K. (2000). The full information maximum likelihood procedure for inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52 (2), 169-210.
23. Kim, H., & Gu, Z. (2003). Risk-adjusted performance: A sector analysis of restaurant firms. Journal of Hospitality & Tourism Research, 27 (2), 200-216.
24. Lintner, J. (1965). The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13-37.
25. Ljung, G., & Box, G. (1978). On a measure of lack of fit in time series models. Biometrika, 65 (2), 297-303.
26. Nasseh, A., & Strauss, J. (2000). Stock prices and domestic and international macroeco¬nomic activity: A cointegration approach. Quarterly Review of Economics and Finance, 40, 229-245.
27. Osterwald-Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the ML cointegration rank test statistics. Oxford Bulletin of Economics and Statistics, 54, 461-472.
28. Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75 (2), 335-346.
29. Rushmore, S. (1992). Seven current hotel-valuation techniques. Cornell Hotel and Restau¬rant Administration Quarterly, 33 (4), 49-56.
30. Roll, R., & Ross, S. A. (1980). An empirical investigation of the arbitrage theory. Journal of Finance, 35, 1073-1103.
31. Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13, 341-360.
32. Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461-464.
33. Shapiro, M. (1988). The stabilization of the US economy: evidence from the stock market. American Economic Review, 78, 1067-1079.
34. Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under condi¬tions of risk. Journal of Finance, 19, 425-442.
35. Sheel, A., & Wattanasuttiwong, N. (1998). The relevance of financial leverage for equity returns of restaurant firms: An empirical examination. Journal of Hospitality Financial Management, 6 (1), 21-31.
36. Sheel, A., & Nagpal, A. (2000). The post-merger equity performance of acquiring firms in the hospitality industry. Journal of Hospitality Financial Management, 8 (1), 37-45.
37. Song, H., & Witt, S. F. (2000). Tourism demand modeling and forecasting: Modern econometric approaches. Oxford: Pergamon.
38. Wahlroos, B., & Berglund, T. (1986). Stock returns, inflationary expectations and real activity. Journal of Banking and Finance, 10, 377-389.
39. Wasserfallen, W. (1989). Macroeconomic news and the stock market. Journal of Banking and Finance, 13 (4/5), 613-626.