Luintel, Kul B.; Paudyal, Krishna - In: Journal of Financial Research 29 (2006) 1, pp. 1-19
We test whether U.K. common stocks hedge against inflation using a framework of the tax-augmented Fisher hypothesis. Aggregate and disaggregate (seven industry groups) monthly data covering 48 years are used. All pairs of stock and retail price indexes are cointegrated. Tests in most cases...