Stock prices-inflation puzzle and the predictability of stock market returns

DOI10.1016/J.ECONLET.2005.08.001MaRDI QIDQ1929032zbMATH OpenOpenAlexFDO

Authors Christophe Boucher

Publication date 7 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2005.08.001

zbMATH Keywords

inflation puzzlestock pricesstock return predictabilitytime-varying expected returns

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Asymptotics for out of sample tests of Granger causality
• Predicting the equity premium with dividend ratios
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Tests of equal forecast accuracy and encompassing for nested models

Cited in

(17)

• Generalized Fama proxy hypothesis: impact of shocks on Phillips curve and relation of stock returns with inflation
• Stock prices, output and the monetary regime
• Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
• Economic links and cross-predictability of stock returns: evidence from characteristic-based ``styles
• Evaluating the `Fed Model' of stock price valuation: an out-of-sample forecasting perspective
• scientific article; zbMATH DE number 1304946 (Why is no real title available?)
• STOCK RETURNS, TERM STRUCTURE, INFLATION, AND REAL ACTIVITY: AN INTERNATIONAL PERSPECTIVE
• Stock return and inflation: an analysis based on the state-space framework
• Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
• Price-dividend ratios and stock price predictability
• In-sample and out-of-sample prediction of stock market bubbles: cross-sectional evidence
• New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors
• Option pricing in markets with informed traders
• Short-horizon return predictability and oil prices
• The stock return--inflation puzzle revisited
• Stock returns, inflation, and the `proxy hypothesis':
• Forecasting benchmarks of long-term stock returns via machine learning

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