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Monetary policy, stock returns and inflation

  • Du, Ding
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    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 58 (2006)
    Issue (Month): 1 ()
    Pages: 36-54

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    Handle: RePEc:eee:jebusi:v:58:y:2006:i:1:p:36-54
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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    15. Boudoukh, Jacob & Richardson, Matthew, 1993. "Stock Returns and Inflation: A Long-Horizon Perspective," American Economic Review, American Economic Association, vol. 83(5), pages 1346-55, December.
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    18. Solnik, Bruno, 1983. " The Relation between Stock Prices and Inflationary Expectations: The International Evidence," Journal of Finance, American Finance Association, vol. 38(1), pages 35-48, March.
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    22. Solnik, Bruno & Solnik, Vincent, 1997. "A multi-country test of the Fisher model for stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 289-301, December.
    23. Cohn, Richard A & Lessard, Donald R, 1981. "The Effect of Inflation on Stock Prices: International Evidence," Journal of Finance, American Finance Association, vol. 36(2), pages 277-89, May.
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    26. Nicolaas Groenewold & Gregory O'Rourke & Stephen Thomas, 1997. "Stock returns and inflation: a macro analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 127-136.
    27. Khil, Jaeuk & Lee, Bong-Soo, 2000. "Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 457-482, July.
    28. Boyle, Glenn W & Peterson, James D, 1995. "Monetary Policy, Aggregate Uncertainty, and the Stock Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 570-82, May.
    29. Wei, K. C. John & Wong, K. Matthew, 1992. "Tests of inflation and industry portfolio stock returns," Journal of Economics and Business, Elsevier, vol. 44(1), pages 77-94, February.
    30. Choudhry, Taufiq, 2001. "Inflation and rates of return on stocks: evidence from high inflation countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 75-96, March.
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    33. Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 115-143, January.
    34. Boudoukh, Jacob & Richardson, Matthew & Whitelaw, Robert F, 1994. " Industry Returns and the Fisher Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1595-1615, December.
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    39. Kaul, Gautam, 1990. "Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 307-321, September.
    40. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    41. Amihud, Yakov, 1996. "Unexpected Inflation and Stock Returns Revisited--Evidence from Israel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 22-33, February.
    42. Bodie, Zvi, 1976. "Common Stocks as a Hedge against Inflation," Journal of Finance, American Finance Association, vol. 31(2), pages 459-70, May.
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