Document Type : Research Paper
Authors
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). This paper employs regression approach to investigate the relationship between inflation and TEPIX and TEDPIX. We use monthly data from 198l to 2005. Findings indicate that relationship between inflation and TEPIX and TEDPIX is poor and investment in Tehran security exchange can't be hedge against inflation.
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