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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

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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
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Economics Letters
Publisher: Elsevier
ISSN: 0165-1765
Official Date: 2002
Dates:
DateEvent
2002Published
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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