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The stock return-inflation puzzle revisited
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UNSPECIFIED. (2002) The stock return-inflation puzzle revisited. ECONOMICS LETTERS, 75 (2). pp. 147-156. ISSN 0165-1765
Full text not available from this repository.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 |
| Journal or Publication Title: | ECONOMICS LETTERS |
| Publisher: | ELSEVIER SCIENCE SA |
| ISSN: | 0165-1765 |
| Date: | April 2002 |
| Volume: | 75 |
| Number: | 2 |
| Number of Pages: | 10 |
| Page Range: | pp. 147-156 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/11154 |
Data sourced from Thomson Reuters' Web of Knowledge
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