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The stock return-inflation puzzle revisited
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Gallagher, Liam A. and Taylor, Mark P. (2002) The stock return-inflation puzzle revisited. Economics Letters, 75 (2). pp. 147-156. doi:10.1016/S0165-1765(01)00613-9
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Official URL: http://dx.doi.org/10.1016/S0165-1765(01)00613-9
Abstract
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.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Economics Letters | ||||
| Publisher: | Elsevier | ||||
| ISSN: | 0165-1765 | ||||
| Official Date: | 2002 | ||||
| Dates: |
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| Volume: | 75 | ||||
| Number: | 2 | ||||
| Number of Pages: | 10 | ||||
| Page Range: | pp. 147-156 | ||||
| DOI: | 10.1016/S0165-1765(01)00613-9 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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