| Reference: | Abdullah, Dewan A., and Steven C. Hayworth, 1993, Macroeconometrics of Stock Price Fluctuations, Quarterly Journal of Business and Economics 32, 50–67.
Baker, Malcolm, and Jeffrey Wurgler, 2000, The Equity Share in New Issues and Aggregate Stock Returns, The Journal of Finance 55, 2219–2257.
Campbell, John Y., and Robert J. Shiller, 1988, Stock Prices, Earnings, and Expected Dividends, The Journal of Finance 43, 661–676.
Campbell, John Y., and Samuel B. Thompson, 2008, Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?, The Review of Financial
Studies 12, 1509–1531.
Campbell, John Y., and Samuel Brodsky Thompson, 2005, Does stock market volatility forecast returns?, Working Paper.
Campbell, John Y., and Tuomo Vuolteenaho, 2004, Inflation Illusion and Stock Prices, The American Economic Review 94, 19–23.
Cochrane, John H., 2008, The Dog That Did Not Bark: A Defense of Return Predictability, The Review of Financial Studies 21, 1533–1575.
Diebold, Francis, and Roberto Mariano, 1995, Comparing Predictive Accuracy, Journal of Business & Economic Statistics 13, 253–263.
Fama, Eugene F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance 25, 383–471.
Fama, Eugene F., and Kenneth R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23–49.
Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.
Fama, Eugene F., and G.William Schwert, 1977, Asset returns and inflation, Journal of Financial Economics 5, 115–146.
Fisher, Irving, 1930, The Theory of Interest, as determined by Impatience to Spend Income and Opportunity to Invest it (Macmillan, New York).
Gordon, M. J., 1959, Dividends, Earnings, and Stock Prices, The Review of Economics and Statistics 41, 99–105.
Goyal, Amit, lvo Welch, and Athanasse Zafirov, forthcoming, A comprehensive 2022 look at the empirical performance of equity premium prediction, Review of Financial
Studies.
Guo, Hui, 2003, Does stock market volatility forecast returns?, Federal Reserve Bank of St. Louis Economic SYNOPSES.
Guo, Hui, 2004, Does stock market volatility forecast returns: The international evidence, Federal Reserve Bank of St. Louis Working Paper.
Inoue, Assushi, and Lutz Kilian, 2005, In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?, Econometric Reviews 23, 371–402.
Kothari, S. P., and Jay Shanken, 1997, Book-to-market, dividend yield, and expected market returns: A time-series analysis, Journal of Financial Economics 44, 169–203.
Kydland, Finn E., and Edward C. Prescott, 1977, Rules Rather than Discretion: The Inconsistency of Optimal Plans, The Journal of Political Economy 85, 473–492.
Maio, Paulo F., 2014, Don’t Fight the Fed!, Review of Finance 18, 623–679.
McCracken, Michael W., 2007, Asymptotics for out of sample test of Granger Causality, Journal of Econometrics 140, 719–752.
Modigliani, Franco, and Richard A. Cohn, 1979, Inflation, Rational Valuation and the Market, Financial Analysts Journal 35, 22–44.
Pontiff, Jeffrey, and Lawrence Schall, 1998, Book-to-market ratios as predictors of market returns, Journal of Financial Economics 49, 141–163.
Spiess, D. Katherine, and John Affleck-Graves, 1995, Underperformance in long run stock returns following seasoned equity offerings, Journal of Financial Economics
38, 243–267.
Taylor, John. B, 2012, Monetary Policy Rules Work and Discretion Doesn’t: A Tale of Two Eras, Journal of Money, Credit and Banking 44, 1017–1032.
Welch, Ivo, and Amit Goyal, 2008, A Comprehensive Look at The Empirical Performance of Equity Premium Prediction, The Review of Financial Studies 21, 1455–1508.
Wong, Hock Tsen, 2017, Real exchange rate returns and real stock price returns, International Review of Economics & Finance 49, 340–352.
王志中, 1999, 以總體經濟指標預測臺灣股票報酬, 未出版碩士論文, 國立臺灣科技大學管理研究所企業管理學程, 臺灣台北, 1–78. |
