Anomalies are empirical results that seem to be inconsistent with maintained theories of
asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or …

In an innovative and provocative paper in this Review, Eugene Fama presents evidence
which appears to be consistent with the joint hypothesis that the real rate of in-terest, ignoring …

… William Schwert is the Gleason Professor of Finance and Statistics at the William E. Simon
… Schwert shows that stock volatility has not been unusually high, except for a brief period …

We use predictions of aggregate stock return variances from daily data to estimate time‐varying
monthly variances for size‐ranked portfolios. We propose and estimate a single factor …

This paper analyzes the relation between real stock returns and real activity from 1889–1988.
It replicates Fama's (1990) results for the 1953–1987 period using an additional 65 years …

… GW Schwert, Unit root tests for macroeconomic … GW Schwert, Unit root tests for
macroeconomic … GW Schwert, Unit root tests for macroeconomic data …

This paper compares several statistical models for monthly stock return volatility. The focus
is on US data from 1834-1925 because the post-1926 data have been analyzed in more …

… Schwert (1987) applied the unit-root tests discussed in this article to 17 important US
macroeconomic time series and concluded that many of the tests would falsely reject the unit-root …

This paper examines the relation between stock returns and stock market volatility. We find
evidence that the expected market risk premium (the expected return on a stock portfolio …

This paper analyzes the relation of stock volatility with real and nominal macroeconomic
volatility, economic activity, financial leverage, and stock trading activity using monthly data from …