Bae, Sung-chul; Yi, Taihyeup David - In: Applied financial economics 19 (2009) 22/24, pp. 1961-1973
We attempt to resolve the empirical puzzle in the Fisher effect that nominal stock returns are negatively related to expected inflation. We postulate that this negative relation is caused by simultaneous changes in expected inflation, ex ante real interest rates on bonds and ex ante real returns...
