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We account for the relation between stock returns and inflation with two independent disturbances: supply shocks and demand shocks. Supply shocks reflect real output shocks and cause a negative relation between stock returns and inflation, while demand shocks are mainly due to monetary shocks...
Persistent link: https://www.econbiz.de/10005564144
This article investigates the hypothesis that dividend changes are determined by changes in some measure of permanent earnings. The analysis employs two measures of permanent earnings and takes into account the nonstationarity of dividend and earnings series. This study finds that dynamic...
Persistent link: https://www.econbiz.de/10005564170