A RE‐EXAMINATION OF THE PROXY HYPOTHESIS

A RE‐EXAMINATION OF THE PROXY HYPOTHESIS

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 compreh...

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Veröffentlicht in:The Journal of financial research 1993-10, Vol.16 (3), p.261-268
Hauptverfasser: Liu, Y. Angela, Hsueh, L. Paul, Clayton, Ronnie J.
Format: Artikel
Sprache:eng
Schlagworte:
Economic activity
Economic models
Floating exchange rates
Hypotheses
Inflation
Manycountries
Monetary policy
Rates of return
Securities markets
Studies
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Zusammenfassung: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.
ISSN:0270-2592
1475-6803
DOI:10.1111/j.1475-6803.1993.tb00145.x