Stock Market Returns and Inflation Forecasts

N. BULENT GULTEKIN

94 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Market Dynamics and Volatility

Abstract

ABSTRACT This study uses data from the Livingston survey of expectations to examine the Fisher hypothesis as a model relating expected stock returns and expected inflation. We show that the Fisher hypothesis holds much better for ex ante expectations than ex post realizations.

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References

1977Asset returns and inflation 1981Stock Returns, Real Activity, Inflation, and Money 1979Inflation, Rational Valuation and the Market 1963Inflation and Real Interest 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS 1983Stock Market Returns and Inflation: Evidence from Other Countries 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION

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