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Relationship between inflation with TEPIX and TEDPIX

Majid Shariatpanahi; Mostafa Bayati

Volume 4, Issue 13 , April 2006, , Pages 139-154

Abstract
  Different explanations have been suggested for the puzzling negative relationship observed between stock returns and inflation. The most popular ones have been the Tax - Effects Hypothesis (Feldstein (1980)), the Proxy Hypothesis (Fama, 198l), and the Reverse Causality Hypothesis (Geske and Roll, l 983). ...  Read More