Inflation and real stock prices

Tony Caporale and Chulho Jung

Applied Financial Economics, 1997, vol. 7, issue 3, 265-266

Abstract: A time series measure of expectations is used to demonstrate the existence of an inverse relationship between inflation and real stock prices, even after controlling for output shocks. This provides some evidence against Fama's famous conjecture (Fama, E., 1981, Stock returns, real activity, inflation, and money, American Economic Review, Sept, 545 - 565).

Date: 1997
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DOI: 10.1080/096031097333619

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