Price inflation and stock returns
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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References listed on IDEAS
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- Martin Feldstein, 1983.
"Inflation, Tax Rules, and the Stock Market,"
in: Inflation, Tax Rules, and Capital Formation, pages 199-220
National Bureau of Economic Research, Inc.
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NBER Working Papers
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NBER Working Papers
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- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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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