oaioai:wrap.warwick.ac.uk:11154

The stock return-inflation puzzle revisited

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Publication date
14 October 2002
Publisher
Elsevier
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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

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