Pitfalls in estimates of the relationship between stock returns and inflation
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References listed on IDEAS
- Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-483, May.
- Bruce D. Smith & Ross Levine & John H. Boyd, 1996. "Inflation and financial market performance," Working Papers (Old Series) 9617, Federal Reserve Bank of Cleveland, revised 1996.
- Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
- Barnes, Michelle & Boyd, John H. & Smith, Bruce D., 1999. "Inflation and asset returns," European Economic Review, Elsevier, vol. 43(4-6), pages 737-754, April.
- Boudoukh, Jacob & Richardson, Matthew, 1993. "Stock Returns and Inflation: A Long-Horizon Perspective," American Economic Review, American Economic Association, vol. 83(5), pages 1346-1355, December.
- Chang, Eric C. & Pinegar, J. Michael, 1987. "Risk and Inflation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 89-99, March.
- Jaffe, Jeffrey F & Mandelker, Gershon, 1976. "The "Fisher Effect" for Risky Assets: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 31(2), pages 447-458, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Mustapha Ibn Boamah, 2017. "Common Stocks and Inflation: An Empirical Analysis of G7 and BRICS," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(2), pages 213-224, June.
- Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
- Madsen, Jakob B., 2012. "A behavioral model of house prices," Journal of Economic Behavior & Organization, Elsevier, vol. 82(1), pages 21-38.
- Kim, Jae H. & Ryoo, Heajin H., 2011. "Common stocks as a hedge against inflation: Evidence from century-long US data," Economics Letters, Elsevier, vol. 113(2), pages 168-171.
More about this item
KeywordsFisher hypothesis; Share returns; Inflation persistence; G12;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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