The stock return-inflation puzzle revisited

被引：41
|
作者：
Gallagher, LA
Taylor, MP [1 ]
机构：
[1] Univ Warwick, Warwick Business Sch, Ctr Econ Policy Res, Coventry CV4 7AL, W Midlands, England
[2] Univ Warwick, Warwick Business Sch, Dept Econ, Coventry CV4 7AL, W Midlands, England
[3] Natl Univ Ireland Univ Coll Cork, Cork, Ireland
来源：
ECONOMICS LETTERS | 2002年 / 75卷 / 02期
关键词：
proxy hypothesis; inflation; stock returns; decomposition;
D O I：
10.1016/S0165-1765(01)00613-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We develop a theoretical model to formalize and derive testable implications of Fama's [American Economic Review 71 (1981) 545] 'proxy hypothesis' explanation of the stock return-inflation puzzle. Using a multivariate innovation decomposition, the evidence provides strong confirmation of the proxy hypothesis explanation of the puzzle in the US over the last 40 years. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：147 / 156
页数：10
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