Inflation illusion and the US dividend yield: Some further evidence

Daniella Acker and Nigel W. Duck

Journal of International Money and Finance, 2013, vol. 33, issue C, 235-254

Abstract: This paper uses Campbell and Vuolteenaho's (2004a,b) procedure to provide evidence on the source of the positive correlation between the US dividend yield and expected inflation. It finds that results derived from the procedure are sensitive to the data period but that Chen and Zhao's (2009) criticism of it is of minor importance. Over the period when the procedure produces stable results – 1953–1989 – we find support for Modigliani and Cohn's (1979) money-illusion hypothesis, little support for Fama's (1981) proxy hypothesis, and strong evidence against the hypothesis that rises in expected inflation raise subjective real equity premia.

Keywords: Dividend yield; Inflation; Inflation illusion (search for similar items in EconPapers)
JEL-codes: C32 E44 G12 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560612002197
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:33:y:2013:i:c:p:235-254

DOI: 10.1016/j.jimonfin.2012.11.018

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().