Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.1
Using monthly data from G7 and eight Asian countries, support is found for the Fisher hypothesis, as well as a positive relation between long-horizon nominal stock returns and expected inflation but not between long-horizon nominal stock returns and contemporaneous inflation. These empirical results complement and strengthen those of Boudoukh and Richardson. 1 The MATLAB program and data to compute the results in this paper are available from http://kafuwong.econ.hku.hk/research/fisher/.
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Volume (Year): 10 (2003)
Issue (Month): 14 ()
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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