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Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations

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Author Info
Kaul, Gautam
Abstract

This paper analyzes the impact of changes in monetary policy regimes on the relation between stock returns and changes in expected inflation. Post-war evidence from four countries reveals a direct link between these relations and the central banks' operating targets (i.e., money supply or interest rates). Specifically, the post-war negative relations between stock returns and changes in expected inflation are significantly stronger during interest rate regimes.

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 25 (1990)
Issue (Month): 03 (September)
Pages: 307-321
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:25:y:1990:i:03:p:307-321_00

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  1. Austin Murphy & Anandi Sahu, 2001. "Empirical evidence of a positive inflation premium being incorporated into stock prices," Atlantic Economic Journal, International Atlantic Economic Society, vol. 29(2), pages 177-185, June. [Downloadable!] (restricted)
  2. Abdullah Iqbal, Susanne Espenlaub, Norman Strong, 2006. "The Long-Run Performance of UK Rights Issuers," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 3(2), pages 18-54, December. [Downloadable!]
  3. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February. [Downloadable!] (restricted)
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  4. Bedri Tas, 2004. "Private information of the Fed, predictability of stock returns and expected monetary policy," Money Macro and Finance (MMF) Research Group Conference 2003 100, Money Macro and Finance Research Group. [Downloadable!]
  5. Jakob B. Madsen, 2004. "Pitfalls in Estimates of Relationship between Share Returns and Inflation," FRU Working Papers 2004/07, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  6. Nicholas Aspergis & Stephen M. Miller, 2003. "Macroeconomic Rationality and Lucas' Misperceptions Model: Further Evidence from Forty-One Countries," Working papers 2003-26, University of Connecticut, Department of Economics. [Downloadable!]
  7. Locarno, Alberto & Massa, Massimo, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  8. Gitit G. Gershgoren, Shmuel Hauser, 2006. "Stock Market Reaction to Unexpected Changes in Interest Rates," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 3(2), pages 1-17, December. [Downloadable!]
  9. Iqbal, Javed & Haider, Aziz, 2005. "Arbitrage pricing theory: evidence from an emerging stock market," MPRA Paper 8699, University Library of Munich, Germany. [Downloadable!]
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