Inflation and real stock prices
AbstractA time series measure of expectations is used to demonstrate the existence of an inverse relationship between inflation and real stock prices, even after controlling for output shocks. This provides some evidence against Fama's famous conjecture (Fama, E., 1981, Stock returns, real activity, inflation, and money, American Economic Review, Sept, 545 - 565).
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 7 (1997)
Issue (Month): 3 ()
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- Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
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- Mondher bellalah & Olivier Levyne & Omar Masood, 2013. "Impact of Macroeconomic Factors on Stock Exchange Prices: Evidence from USA Japan and China," THEMA Working Papers 2013-15, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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