Title

A Reexamination Of The Proxy Hypothesis

Keywords

Stock Returns; Inflation; Business, Finance

Abstract

In this study we examine whether the proxy hypothesis can explain the puzzling negative relation between real stock returns and expected inflation. Our study improves upon previous tests that suffer from model misspecification and are incomplete. With correctly specified models, we provide a comprehensive test using data from four major industrialized nations during the period of floating exchange rates. Results do not support the proxy hypothesis.

Publication Title

Journal of Financial Research

Volume

16

Issue/Number

3

Publication Date

1-1-1993

Document Type

Article

Language

English

First Page

261

Last Page

268

WOS Identifier

WOS:A1993LZ12500007

ISSN

0270-2592

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