Stock market returns and inflationary expectations: additional evidence for 1975‐1979

Stock market returns and inflationary expectations: additional evidence for 1975‐1979

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Article ID: iaor201522707
Volume: 5
Issue: 3
Start Page Number: 261
End Page Number: 271
Publication Date: Sep 1982
Journal: Journal of Financial Research
Authors: ,
Keywords: statistics: inference, investment, economics, time series: forecasting methods
Abstract:

This research investigates the impacts that inflationary expectations and errors in those expectations had upon the stock market during 1975 to 1979. Expected rates of inflation were obtained via (1) Box‐Jenkins time‐series analysis and (2) naive extrapolation. Statistical analysis indicates only weak support for a Fisher effect in determining stock prices. However, the analysis consistently indicates that unanticipated changes in inflation are negatively related to stock market returns.

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