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Stock returns and expected inflation: evidence from an asymmetric test specification

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Author Info
Bharat Kolluri ()
Mahmoud Wahab ()

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File URL: http://hdl.handle.net/10.1007/s11156-007-0060-9
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Publisher Info
Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 30 (2008)
Issue (Month): 4 (May)
Pages: 371-395
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Handle: RePEc:kap:rqfnac:v:30:y:2008:i:4:p:371-395

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: Stock returns; Expected inflation; Asymmetry; G11; G12;

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References listed on IDEAS
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  1. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November. [Downloadable!] (restricted)
  2. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March. [Downloadable!] (restricted)
  3. Hu, Xiaoqiang & Willett, Thomas D, 2000. "The Variability of Inflation and Real Stock Returns," Applied Financial Economics, Taylor and Francis Journals, vol. 10(6), pages 655-65, December. [Downloadable!] (restricted)
  4. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March. [Downloadable!] (restricted)
  5. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October. [Downloadable!] (restricted)
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  6. Mandelker, Gershon & Tandon, Kishore, 1985. "Common stock returns, real activity, money, and inflation: Some international evidence," Journal of International Money and Finance, Elsevier, vol. 4(2), pages 267-286, June. [Downloadable!] (restricted)
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This page was last updated on 2009-11-12.

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