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

被引：13
|
作者：
Boucher, C [1 ]
机构：
[1] Univ Paris 13, CEPN, F-93430 Villetaneuse, France
来源：
ECONOMICS LETTERS | 2006年 / 90卷 / 02期
关键词：
time-varying expected returns; stock return predictability; stock prices-inflation puzzle;
D O I：
10.1016/j.econlet.2005.08.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper considers a new perspective on the relationship between stock prices and inflation, by estimating the common long-term trend in the earning-price ratio and inflation. We find that the transitory deviations from this common trend exhibit substantial out-of-sample forecasting abilities for excess returns at short and intermediate horizons. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：205 / 212
页数：8
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