Title

Stock Returns, Inflation and the Phillips Curve

Publication Type

Journal Article

Publication Date

1986

Abstract

In recent years, the negative relation between stock returns and inflation has been rigorously investigated. Studies by Lintner [25], Bodie [1], Jaffee and Mandelker [21], Nelson [28], Fama and Schwert [11], and Gultekin [17], to name but a few, consistently show that stock returns are negatively associated with inflation, if associated at all, and conclude that the Fisher hypothesis does not hold for stocks. Explanations for this finding are equally abundant. For instance, Fama [10] postulates that the observed negative association is largely a spurious phenomenon, a conclusion he justifies by maintaining that it is consistent with a simple money demand-quantity theory world.

Discipline

Business

Research Areas

Finance

Publication

Southern Economic Journal

Volume

52

Issue

4

First Page

973

Last Page

983

ISSN

0038-4038