Stock returns and inflation expectations: Evidence from 20 major countries

Stock returns and inflation expectations: Evidence from 20 major countries

We examine the relation between stock market returns and inflation expectations using data for 20 advanced countries. Evidence reveals that a negative relation presents in each of 18 countries; the exceptions are Brazil and Russia. The uncertainty hypothesis is established via evidence that U.S. inf...

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Bibliographic Details
Main Author: Thomas C. Chiang
Format: Article
Language:English
Published: AIMS Press 2023-10-01
Series:Quantitative Finance and Economics
Subjects:
fama proxy effect
geske-roll hypothesis
uncertainty hypothesis
real stock market returns
inflation expectations
monetary policy uncertainty
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2023027?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2023027?viewType=HTML

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