Empirical evidence of a positive inflation premium being incorporated into stock prices

被引：1

作者：

Murphy A. ^{[1
]}

Sahu A. ^{[1
]}

机构：

[1] Oakland University,

来源：

Atlantic Economic Journal | 2001年 / 29卷 / 2期

关键词：

Time Series; Interest Rate; Research Finding; International Economic; Public Finance;

D O I：

10.1007/BF02299136

中图分类号：

学科分类号：

摘要：

This study demonstrates that in contrast to prior research findings on short-term stock returns, long-term stock returns are positively correlated with inflation. In addition, within the context of a more complete explanatory model, long-term stock returns are found to be negatively related to changes in long-term interest rates and negatively related to beginning price to earnings ratios. The significance of these variables in explaining almost all the time series variation in long-term stock returns demonstrates that changes in stock values are well explained by theory.

引用

页码：177 / 185

页数：8

共 20 条

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