RDP 9610: Share Prices and Investment References

Barro, R.J. (1990), ‘The Stock Market and Investment’, The Review of Financial Studies, 3(1), pp. 115–131.

Bewley, R.A. (1979), ‘The Direct Estimation of the Equilibrium Response in a Linear Dynamic Model’, Economics Letters, 3(4), pp. 357–361.

Black, A. and P. Fraser (1995), ‘U.K. Stock Returns: Predictability and Business Conditions’, The Manchester School Supplement, pp. 85–102.

Blanchard, O., C. Rhee and L. H. Summers (1990), ‘The Stock Market, Profit and Investment’, National Bureau of Economic Research Working Paper No. 3370.

Blundell-Wignall, A. and M. Bullock (1992), ‘Changes in the Characteristics of the Australian Business Cycle: Some Lessons for Monetary Policy from the 1980s and Early 1990s’, Reserve Bank of Australia Research Discussion Paper No. 9212.

Bosworth, B. (1975), ‘The Stock Market and the Economy’, Brookings Papers on Economic Activity, 2, pp. 257–300.

Chirinko, R.S. (1993), ‘Business Fixed Investment Spending: A Critical Survey of Modeling Strategies, Empirical Results, and Policy Implications’, Federal Reserve Bank of Kansas City Research Working Paper 93–01.

Chirinko, R.S. and H. Schaller (1996), ‘Bubbles, Fundamentals, and Investment: A Multiple Equation Testing Strategy’, Journal of Monetary Economics, 38(1), pp. 47–76.

Claessens, S., S. Dasgupta and J. Glen (1995), ‘Return Behaviour in Emerging Stock Markets’, The World Bank Economic Review, 9(1), pp. 131–151.

Cutler, D.M., J.M. Poterba and L.H. Summers (1990a), ‘Speculative Dynamics’, National Bureau of Economic Research Working Paper No. 3242.

Cutler, D.M., J. M. Poterba and L.H. Summers (1990b), ‘Speculative Dynamics and the Role of Feedback Traders’, National Bureau of Economic Research Working Paper No. 3243.

De Long, J.B., A. Shleifer, L.H. Summers and R.J. Waldmann (1990), ‘Positive Feedback Investment Strategies and Destabilising Rational Speculation’, Journal of Finance, 45(2), pp. 379–395.

Debelle, G. and B. Preston (1995), ‘Consumption, Investment and International Linkages’, Reserve Bank of Australia Research Discussion Paper No. 9512.

Dickey, D. and W. Fuller (1981), ‘Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root’, Econometrica, 49(1/3), pp. 1057–1072.

Doan, T., R. Litterman and C. Sims (1983), ‘Forecasting and Conditional Projection Using Realistic Prior Distributions’, National Bureau of Economic Research Working Paper No. 1202.

Engle, R.F. (1982), ‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation’, Econometrica, 50(4), pp. 987–1007.

Fama, E.F. (1970), ‘Efficient Capital Markets: A Review of Theory and Empirical Work’, Journal of Finance, 25(2), pp. 383–417.

Fama, E.F. (1991), ‘Efficient Capital Markets : II’, Journal of Finance, 46(5), December, pp. 1575–1617.

Fama, E.F. and K. R. French (1989), ‘Business Conditions and Expected Returns on Stocks and Bonds’, Journal of Financial Economics, 25(1), pp. 23–49.

Fischer, S. and R.C. Merton (1984), ‘Macroeconomics and Finance: The Role of the Stock Market’, Carnegie-Rochester Conference Series on Public Policy, 21(Autumn), pp. 57–108.

French, K.R. and J.M. Poterba (1991), ‘Were Japanese Stock Prices too High?’, Journal of Financial Economics, 29(2), pp. 337–363.

Groenewold, N. and K.C. Kang (1993), ‘The Semi-Strong Efficiency of the Australian Share Market’, The Economic Record, 69(207), pp. 405–410.

Hausman, J.A. (1978), ‘Specification Tests in Econometrics’, Econometrica, 46, pp. 1251–1272.

Hayashi, F. (1982), ‘Tobin's Marginal q and Average q: A Neoclassical Interpretation’, Econometrica, 50(1), pp. 213–244.

Jarque, C.M. and A.K. Bera (1980), ‘Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals’, Economics Letters, 6(3), pp. 255–259.

Korajczyk, R.A., D. Lucas and R. McDonald (1988), ‘The Effect of Information Releases on the Timing of Equity Issues: Theory and Evidence’, National Bureau of Economic Research Working Paper No. 2727.

Kortian, T. (1995), ‘Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature’, Reserve Bank of Australia Research Discussion Paper No. 9501.

Kremers, J.J.M., N.R. Ericsson and J.J. Dolado (1992), ‘The Power of Cointegration Tests’, Oxford Bulletin of Economics and Statistics, 54(3), pp. 325–348.

Lucas, D.J. and R.L. McDonald (1989), ‘Equity Issues and Stock Market Dynamics’, National Bureau of Economic Research Working Paper No. 3169.

MacKinnon, J.G. (1991), ‘Critical Values for Cointegration Tests’, in R.F. Engle and C.W.J. Granger (eds), Modelling Long-Run Economic Relationships, Oxford University Press, pp. 267–276.

Mills, K., S. Morling and W. Tease (1994), ‘The Influence of Financial Factors on Corporate Investment’, Reserve Bank of Australia Research Discussion Paper No. 9402.

Morck, R., A. Shleifer and R.W. Vishny (1990), ‘The Stock Market and Investment: Is the Market a Sideshow?’, Brookings Papers on Economic Activity, 2, pp. 157–215.

Mullins, M. and S.B. Wadhwani (1989), ‘The Effect of the Stock Market on Investment: A Comparative Study’, European Economic Review, 33(5), pp. 939–961.

Perron, P. (1988), ‘Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach’, Journal of Economics Dynamics and Control, 12(2/3), pp. 297–332.

Perron, P. (1989), ‘The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis’, Econometrica, 57(6), pp. 1361–1401.

Phillips, P. and P. Perron (1988), ‘Testing for a Unit Root in Time Series Regression’, Biometrika, 75, pp. 335–346.

Poterba, J.M. and L. H. Summers (1988), ‘Mean Reversion in Stock Prices: Evidence and Implications’, Journal of Financial Economics, 22(1), pp. 27–59.

Said, S.E. and D.A. Dickey (1984), ‘Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order’, Biometrika, 71, pp. 599–607.

Tease, W. (1993), ‘The Stock Market and Investment’, OECD Economic Studies No. 20 (Spring), pp. 41–63.

Tobin, J. (1969), ‘A General Equilibrium Approach to Monetary Theory’, Journal of Money, Credit and Banking, 1(February), pp. 15–29.