A Reexamination Of The Proxy Hypothesis

    Authors

    Y. A. Liu; L. P. Hsueh;R. J. Clayton

    Comments

    Authors: contact us about adding a copy of your work at STARS@ucf.edu

    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.

    Journal 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

    Share

    COinS