Acker, Daniella; Duck, Nigel - In: The European Journal of Finance 20 (2014) 12, pp. 1230-1245
We report evidence that the UK dividend yield and expected inflation are positively correlated from 1962 to 1997, but negatively correlated subsequently. Using a commonly used VAR (vector auto-regression)-based procedure we find strong evidence that the positive correlation is caused both by...