Flannery, Mark J.; Protopapadakis, Aris A. - In: Review of Financial Studies 15 (2002) 3, pp. 751-782
Stock market returns are significantly correlated with inflation and money growth. The impact of real macroeconomic variables on aggregate equity returns has been difficult to establish, perhaps because their effects are neither linear nor time invariant. We estimate a GARCH model of daily...