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Empirical Tests of the Proxy Hypothesis
Author(s) -
McCarthy Joseph,
Najand Mohammad,
Seifert Bruce
Publication year - 1990
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1990.tb00795.x
Subject(s) - proxy (statistics) , spurious relationship , econometrics , stock (firearms) , economics , statistics , mathematics , geography , archaeology
The proxy hypothesis states that the negative relationship between inflation and stock returns is spurious and really only proxies for the positive relationship between stock returns and real variables. Previous testes of the proxy hypothesis have used actual values instead of forecasted values for the real activity variable. Using only forecasted variables, our results do not support the proxy hypothesis.