UNSPECIFIED (2002) The stock return-inflation puzzle revisited. ECONOMICS LETTERS, 75 (2). pp. 147-156. ISSN 0165-1765

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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

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