Purpose –This is a research paper aiming to re-examine Fama's proxy hypothesis which states that inflation is negatively related to real economic activity and the negative relationship between stock returns and inflation reflects the positive impact of real variables on stock returns....

Purpose – This is a research paper aiming to re‐examine Fama's proxy hypothesis which states that inflation is negatively related to real economic activity and the negative relationship between stock returns and inflation reflects the positive impact of real variables on stock returns....