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A Re-examination of the Proxy Hypothesis

Listed author(s):
  • Liu, Y Angela
  • Hsueh, L Paul
  • Clayton, Ronnie J
Registered author(s):

    In this study we examine whether the proxy hypothesis can explain the puzzling negative relation between real stock returns and expected inflation. Our study improves upon previous tests that suffer from model misspecification and are incomplete. With correctly specified models, we provide a comprehensive test using data from four major industrialized nations during the period of floating exchange rates. Results do not support the proxy hypothesis.

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    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 16 (1993)
    Issue (Month): 3 (Fall)
    Pages: 261-268

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    Handle: RePEc:bla:jfnres:v:16:y:1993:i:3:p:261-68
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