This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton�s Intertemporal CAPM to test whether these four...

The paper presents empirical evidence on the long-run neutrality of monetary policy in the UK based on the methodology developed by Fisher and Seater. Money is found to be long-run neutral with respect to real GDP and real equity prices. However, in the short to medium term permanent positive...

In this paper, the author investigates the dynamic effects of money supply ('nominal') shocks and technology ('real') shocks on real stock returns on the basis of the impulse response function of a restricted vector autoregressive model. Appropriate identifying restrictions are derived from the...