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Price inflation and stock returns

Listed author(s):
  • Oxman, Jeffrey
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    This letter demonstrates that price inflation and stock returns display differing relationships depending on the measure of inflation used. The regularity that price inflation and stock returns are negatively related in post-World War II depends on the model specification.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165176512001541
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 116 (2012)
    Issue (Month): 3 ()
    Pages: 385-388

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    Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:385-388
    DOI: 10.1016/j.econlet.2012.04.024
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Inflation Illusion and Stock Prices," American Economic Review, American Economic Association, vol. 94(2), pages 19-23, May.
    2. Martin Feldstein, 1983. "Inflation, Tax Rules, and the Stock Market," NBER Chapters,in: Inflation, Tax Rules, and Capital Formation, pages 199-220 National Bureau of Economic Research, Inc.
    3. Michael Boskin, 2005. "Causes and Consequences of Bias in the Consumer Price Index as a Measure of the Cost of Living," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(1), pages 1-13, March.
    4. Brandt, Michael W. & Wang, Kevin Q., 2003. "Time-varying risk aversion and unexpected inflation," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1457-1498, October.
    5. Martin Feldstein, 1983. "Inflation and the Stock Market," NBER Chapters,in: Inflation, Tax Rules, and Capital Formation, pages 186-198 National Bureau of Economic Research, Inc.
    6. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
    7. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005. "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," The Quarterly Journal of Economics, Oxford University Press, vol. 120(2), pages 639-668.
    8. Hess, Patrick J & Lee, Bong-Soo, 1999. "Stock Returns and Inflation with Supply and Demand Disturbances," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1203-1218.
    9. 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.
    10. Lee, Bong Soo, 2010. "Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1257-1273, June.
    11. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005. "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," NBER Working Papers 11018, National Bureau of Economic Research, Inc.
    12. Michael J. Boskin, 1998. "Consumer Prices, the Consumer Price Index, and the Cost of Living," Journal of Economic Perspectives, American Economic Association, vol. 12(1), pages 3-26, Winter.
    13. Boskin, Michael J, et al, 1997. "The CPI Commission: Findings and Recommendations," American Economic Review, American Economic Association, vol. 87(2), pages 78-83, May.
    14. Lee, Bong-Soo, 2003. "Asset Returns and Inflation in Response to Supply, Monetary, and Fiscal Disturbances," Review of Quantitative Finance and Accounting, Springer, vol. 21(3), pages 207-231, November.
    15. Fama, Eugene F, 1983. "Stock Returns, Real Activity, Inflation, and Money: Reply," American Economic Review, American Economic Association, vol. 73(3), pages 471-472, June.
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