A REEXAMINATION OF THE PROXY HYPOTHESIS

被引：3
|
作者：
LIU, YA
HSUEH, LP
CLAYTON, RJ
机构：
来源：
JOURNAL OF FINANCIAL RESEARCH | 1993年 / 16卷 / 03期
关键词：
D O I：
10.1111/j.1475-6803.1993.tb00145.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study we examine whether the proxy hypothesis can explain the puzzling negative relation between real stock returns and expected inflation. Our study improves upon previous tests that suffer from model misspecification and are incomplete. With correctly specified models, we provide a comprehensive test using data from four major industrialized nations during the period of floating exchange rates. Results do not support the proxy hypothesis.
引用
收藏
页码：261 / 268
页数：8
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