IDEAS home Printed from https://ideas.repec.org/p/cdl/anderf/qt0sx3x482.html
   My bibliography  Save this paper

Extracting Inflation from Stock Returns to test Purchasing Power Parity

Author

Listed:
  • Chowdhry, Bhagwan
  • Roll, Richard
  • Xia, Yihong

Abstract

We provide a novel method for extracting estimates of realized pure price inflation from stock returns. The key is recognizing that pure price inflation should a®ect nominal returns of all traded assets by exactly the same amount. The popular Fama- French three-factor model is employed to purge stock returns of real economic factors. We uncover evidence that purchasing power parity holds quite well using the extracted inflation measures.

Suggested Citation

  • Chowdhry, Bhagwan & Roll, Richard & Xia, Yihong, 2002. "Extracting Inflation from Stock Returns to test Purchasing Power Parity," University of California at Los Angeles, Anderson Graduate School of Management qt0sx3x482, Anderson Graduate School of Management, UCLA.
  • Handle: RePEc:cdl:anderf:qt0sx3x482
    as

    Download full text from publisher

    File URL: http://www.escholarship.org/uc/item/0sx3x482.pdf;origin=repeccitec
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Harald Hau & Hélène Rey, 2006. "Exchange Rates, Equity Prices, and Capital Flows," Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 273-317.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cdl:anderf:qt0sx3x482. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff). General contact details of provider: http://edirc.repec.org/data/aguclus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.