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Empirical evidence of a positive inflation premium being incorporated into stock prices
Authors:Austin Murphy  Anandi Sahu
Institution:(1) Oakland University, U.S.A.
Abstract:This study demonstrates that in contrast to prior research findings on short-term stock returns, long-term stock returns are positively correlated with inflation. In addition, within the context of a more complete explanatory model, long-term stock returns are found to be negatively related to changes in long-term interest rates and negatively related to beginning price to earnings ratios. The significance of these variables in explaining almost all the time series variation in long-term stock returns demonstrates that changes in stock values are well explained by theory.
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