The stock return-inflation puzzle revisited

Liam A. Gallagher; Mark P. Taylor

doi:10.1016/S0165-1765(01)00613-9

The stock return-inflation puzzle revisited

Liam A. Gallagher
, Mark P. Taylor

Research output: Contribution to journal › Article › peer-review

53 Scopus citations

Abstract

We develop a theoretical model to formalize and derive testable implications of Fama's [American Economic Review 71 (1981) 545] 'proxy hypothesis' explanation of the stock return-inflation puzzle. Using a multivariate innovation decomposition, the evidence provides strong confirmation of the proxy hypothesis explanation of the puzzle in the US over the last 40 years.

Original language	English
Pages (from-to)	147-156
Number of pages	10
Journal	Economics Letters
Volume	75
Issue number	2
DOIs	https://doi.org/10.1016/S0165-1765(01)00613-9
State	Published - Apr 2002

Keywords

Decomposition
Inflation
Proxy hypothesis
Stock returns

Access to Document

10.1016/S0165-1765(01)00613-9

Cite this

@article{b3fa5595c37540e59ec6bfee41fcdfad,

title = "The stock return-inflation puzzle revisited",

abstract = "We develop a theoretical model to formalize and derive testable implications of Fama's [American Economic Review 71 (1981) 545] 'proxy hypothesis' explanation of the stock return-inflation puzzle. Using a multivariate innovation decomposition, the evidence provides strong confirmation of the proxy hypothesis explanation of the puzzle in the US over the last 40 years.",

keywords = "Decomposition, Inflation, Proxy hypothesis, Stock returns",

author = "Gallagher, \{Liam A.\} and Taylor, \{Mark P.\}",

year = "2002",

month = apr,

doi = "10.1016/S0165-1765(01)00613-9",

language = "English",

volume = "75",

pages = "147--156",

journal = "Economics Letters",

issn = "0165-1765",

number = "2",

}

TY - JOUR

T1 - The stock return-inflation puzzle revisited

AU - Gallagher, Liam A.

AU - Taylor, Mark P.

PY - 2002/4

Y1 - 2002/4

N2 - We develop a theoretical model to formalize and derive testable implications of Fama's [American Economic Review 71 (1981) 545] 'proxy hypothesis' explanation of the stock return-inflation puzzle. Using a multivariate innovation decomposition, the evidence provides strong confirmation of the proxy hypothesis explanation of the puzzle in the US over the last 40 years.

AB - We develop a theoretical model to formalize and derive testable implications of Fama's [American Economic Review 71 (1981) 545] 'proxy hypothesis' explanation of the stock return-inflation puzzle. Using a multivariate innovation decomposition, the evidence provides strong confirmation of the proxy hypothesis explanation of the puzzle in the US over the last 40 years.

KW - Decomposition

KW - Inflation

KW - Proxy hypothesis

KW - Stock returns

UR - https://www.scopus.com/pages/publications/0036019633

U2 - 10.1016/S0165-1765(01)00613-9

DO - 10.1016/S0165-1765(01)00613-9

M3 - Article

AN - SCOPUS:0036019633

SN - 0165-1765

VL - 75

SP - 147

EP - 156

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

The stock return-inflation puzzle revisited

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this