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Expected Inflation, Interest Rates, and Stock Returns
Authors:Dale L Domian  John E Gilster    David A Louton
Institution:Memorial University of Newfoundland, St. John's NF A1B 3X5;Michigan State University, East Lansing, Michigan 48824;Bryant College, Smithfield, Rhode Island 02917
Abstract:This paper documents a long-lived asymmetrical relationship between interest rate changes and subsequent stock returns. Drops in interest rates are followed by twelve months of excess stock returns, while increases in interest rates have little effect. The results are robust to the choices of short-term interest rate and stock index. These findings cannot be explained by Geske and Roll's 10] reversed causality argument; nor do they appear to result from periods of unusual interest rates or stock returns. Since interest rate changes are generally used as proxies for changes in expected inflation, the results provide new insights into previous research on inflation and stock returns, and there are important implications for the literature on time-varying risk premia.
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