References
- Boyd , J , Hu , J and Jagannathan , R (BHJ) . 2005 . The stock market's reaction to unemployment news: why bad news is usually good for stocks? . Journal of Finance , LX : 649 – 72 .
- Campbell , J and Mei , J . 1993 . Where do betas come from? Asset price dynamics and the sources of systematic risk . Review of Financial Studies , 6 : 567 – 92 .
- Carhart , M . 1997 . On persistence in mutual fund performance . Journal of Finance , 52 : 57 – 82 .
- Fama , E . 1975 . Short-term interest rates as predictors of inflation . American Economic Review , 65 : 269 – 82 .
- Fama , E . 1981 . Stock returns, real activity, inflation, and money . American Economic Review , 71 : 545 – 65 .
- Fama , E and French , K . 1993 . Common risk factors in the returns on stocks and bonds . Journal of Financial Economics , 33 : 3 – 56 .
- Fama , E and French , K . 1995 . Size and book-to-market factors in earnings and returns . Journal of Finance , 50 : 131 – 55 .
- Fama , E and French , K . 1996 . Multifactor explanations of asset pricing anomalies . Journal of Finance , 51 : 55 – 84 .
- Fama , E and Gibbons , M . 1982 . Inflation, real returns and capital investment . Journal of Monetary Economics , 9 : 297 – 323 .
- Fama , E and Schwert , W . 1977 . Asset returns and inflation . Journal of Financial Economics , 5 : 115 – 46 .
- Geske , R and Roll , R . 1983 . The fiscal and monetary linkage between stock returns and inflation . Journal of Finance , 38 : 1 – 33 .
- Kaul , G . 1987 . Stock market returns and inflation: the role of the monetary sector . Journal of Financial Economics , 18 : 253 – 76 .
- Marshall , D . 1992 . Inflation and asset returns in a monetary economy . Journal of Finance , 47 : 1315 – 42 .
- McQueen , G and Roley , V(MR) . 1993 . Stock prices, news, and business condition . Review of Financial Studies , 6 : 683 – 707 .
- Pearce , DK and Roley , VV . 1988 . Firm characteristics, unanticipated inflation, and stock returns . Journal of Finance, American Finance Association , 43 : 965 – 81 .
- Polk , C , Thompson , S and Vuolteenaho , T . 2005 . “ Cross-sectional forecasts of the equity premium ” . In mimeo , Harvard University .
- Schaller , H and Van Norden , S . 1997 . Regime switching in stock market returns . Applied Financial Economics , 7 : 177 – 91 .
- Schwert , W . 1981 . The adjustment of stock prices to information about inflation . Journal of Finance , 36 : 15 – 29 .
- Silvapulle , P and Silvapulle , M . 1999 . Business cycle asymmetry and the stock market . Applied Financial Economics , 9 : 109 – 15 .
- Wei , C . 2005 . Uncovering unexpected inflation using Gibbs sampling GWU Working Paper