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TESTING THE FISHERIAN HYPOTHESIS: SOME METHODOLOGICAL ISSUES AND FURTHER EVIDENCE FOR THE UK
Author(s) -
Peel David A.,
Pope Peter F.
Publication year - 1985
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1985.tb00786.x
Subject(s) - scrutiny , stock (firearms) , econometrics , economics , history , political science , archaeology , law
The relationship between common stock returns and actual, expected and unexpected inflation has been subject to considerable scrutiny recently. The objectives of this paper are threefold. First, it is suggested that the Fisherian hypothesis of anticipated stock market returns has been subjected to inappropriate tests in some previous work. Second, the Fisherian hypothesis is developed into an ex post form which is suitable for estimation and which will avoid the difficulties in previous work. Thirdly, estimates of the model are reported using UK data which give some support to the hypothesis.