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Stock Market Returns and Inflation Forecasts
Author(s) -
GULTEKIN N. BULENT
Publication year - 1983
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1983.tb02495.x
Subject(s) - ex ante , economics , stock (firearms) , econometrics , inflation (cosmology) , financial economics , stock market , macroeconomics , theoretical physics , mechanical engineering , paleontology , horse , biology , engineering , physics
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.