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Share returns and the Fisher hypothesis reconsidered

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  • Jakob Madsen

Abstract

This paper compares and tests the four different proxy hypotheses and examines their ability to explain two empirical regularities, namely that the inflation elasticity of share returns tends towards zero in the postwar period and towards two in the interwar period. Using monthly and annual data for almost a century, for 17 OECD (Organisation for Economic Coorporation and Development) countries, the estimates show that the proxy models give important insight into the relationship between inflation and share returns.

Suggested Citation

  • Jakob Madsen, 2002. "Share returns and the Fisher hypothesis reconsidered," Applied Financial Economics, Taylor & Francis Journals, vol. 12(8), pages 565-574.
    • Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:565-574
    DOI: 10.1080/09603100010012980
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    References listed on IDEAS

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    1. Eichengreen, Barry, 1996. "Golden Fetters: The Gold Standard and the Great Depression, 1919-1939," OUP Catalogue, Oxford University Press, number 9780195101133.
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    1. Argha, Leila & Mowlaei, Mohammad & Khezri, Mohsen & Shahabadi, Abolfazl, 2017. "Impact of the Selected Domestic and Foreign Markets Returns on Stock Price in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(4), pages 481-489, October.

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