Asset returns, real activity, and inﬂation from multicountry and international points of view. In previous work Canova and De Nicol´o (1995), we have attempted to give a structural interpretation to the stock return–real activity relationship emerg-ingfromthereduced-formevidencepopularizedbyFama(1990a),bothwithinand across countries. Fama (1981) explained the anomalous negative correlation between inflation and real stock returns by proposing a proxy hypothesis, where the anomalous negative correlation is the result of the. Most stock quote data provided by BATS. Market indices are shown in real time, except for the DJIA, which is delayed by two minutes. All times are ET. Real returns are actual returns minus inflation. When examining S&P 500 returns by decade and adjusting for inflation, the results show the highest real returns occur when inflation is 2% to 3%.

Stock Returns Real Activity Inflation And Money Supply
Inflation Adjusted Stock Market Return

Jason Benderly and Burton Zwick

American Economic Review, 1985, vol. 75, issue 5, 1115-23

Date: 1985
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Stock Returns Real Activity Inflation And Money Supply

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Inflation Adjusted Stock Market Return

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