This paper examines the relation between stock returns and unexpected changes in nominal and real interest rates and inflation for the US stock market. With the exception of Sweeney and Warga (1986), we are the first to examine this relation in detail by breaking the results down from the US...

Forming top quintile portfolios on the Sharpe ratio, the alpha, the information ratio, the excess manipulation proof performance measure EMPPM and the doubt ratio; we find that these portfolios persistently outperform similarly constructed mediocre third quintile portfolios throughout the twelve...