Title

A Re‐Examination Of The Proxy Hypothesis

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. © The Southern Finance Association and the Southwestern Finance Association

Publication Date

1-1-1993

Publication Title

Journal of Financial Research

Volume

16

Issue

3

Number of Pages

261-268

Document Type

Article

Identifier

scopus

Personal Identifier

scopus

DOI Link

https://doi.org/10.1111/j.1475-6803.1993.tb00145.x

Socpus ID

84986534188 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84986534188

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