Extracting Inflation from Stock Returns to test Purchasing Power Parity
We provide a novel method for extracting estimates of realized pure price inflation from stock returns. The key is recognizing that pure price inflation should aÂ®ect nominal returns of all traded assets by exactly the same amount. The popular Fama- French three-factor model is employed to purge stock returns of real economic factors. We uncover evidence that purchasing power parity holds quite well using the extracted inflation measures.
If you experience problems downloading a file, check if you have the
view it first. In case of further problems read
the IDEAS help
. Note that these files are not
on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Anderson Graduate School of Management, UCLA in its series University of California at Los Angeles, Anderson Graduate School of Management
Date of creation:
20 Jun 2002Date of revision:
Contact details of provider:
Postal: 110 Westwood Plaza, Los Angeles, CA. 90095
Web page: http://www.escholarship.org/repec/anderson_fin/
More information through EDIRC
ReferencesNo references listed on IDEAS
You can help add them by filling out this form
Citations are extracted by the CitEc Project
, subscribe to its RSS feed
for this item.
- Harald Hau & Hélène Rey, 2006.
"Exchange Rates, Equity Prices, and Capital Flows,"
Review of Financial Studies,
Society for Financial Studies, vol. 19(1), pages 273-317.
- Harald Hau & Helene Rey, 2002.
"Exchange Rate, Equity Prices and Capital Flows,"
NBER Working Papers
9398, National Bureau of Economic Research, Inc.
- Hau, Harald & Rey, Hélène, 2003.
"Exchange Rates, Equity Prices and Capital Flows,"
CEPR Discussion Papers
3735, C.E.P.R. Discussion Papers.
This item is not listed on Wikipedia, on a reading list
or among the top items
StatisticsAccess and download statistics
When requesting a correction, please mention this item's handle: RePEc:cdl:anderf:qt0sx3x482. See general information
about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through
the various RePEc services.