Publication

Stock prices-inflation puzzle and the predictability of stock market returns

Christophe BOUCHER

This paper considers a new perspective on the relationship between stock prices and inflation, by estimating the common long-term trend in the earning-price ratio and inflation. We find that the transitory deviations from this common trend exhibit substantial out-of-sample forecasting abilities for excess returns at short and intermediate horizons.

Publication type: 
Scientific Article
Date de parution: 
01/2006
Support: 
Economics Letter