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Risk and Inflation
Published online by Cambridge University Press: 06 April 2009
Abstract
This paper examines the effect of risk differences on the oft-documented negative relationship between stock returns and inflation. We find risk-related patterns of coefficients on our estimates of the level and change in expected inflation and on unexpected inflation. These patterns are consistent with the hypothesis developed in Fama [2] and in Geske and Roll [7] that future real output growth simultaneously helps to determine current stock returns and various measures of inflation.
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- Research Article
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- Copyright © School of Business Administration, University of Washington 1987
References
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