Empirical Tests of the Proxy Hypothesis
- 1 May 1990
- journal article
- Published by Wiley in The Financial Review
- Vol. 25 (2) , 251-263
- https://doi.org/10.1111/j.1540-6288.1990.tb00795.x
Abstract
The proxy hypothesis states that the negative relationship between inflation and stock returns is spurious and really only proxies for the positive relationship between stock returns and real variables. Previous testes of the proxy hypothesis have used actual values instead of forecasted values for the real activity variable. Using only forecasted variables, our results do not support the proxy hypothesis.Keywords
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