论文信息 - THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION

THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION

THE EFFECT OF INFLATION on the returns to financial assets has been an important theoretical issue for many years. Due to our recent experience with unusually high rates of inflation, this effect is now of considerable practical importance. The basic theoretical concept in this area is commonly attributed to I. Fisher [1930] who posited that the nominal interest rate fully reflects the available information concerning the possible future values of the rate of inflation. This hypothesis, known as the "Fisher effect," has received wide acceptance among economists and has played an important role in monetary theory, finance, and macroeconomics. Others have extended Fisher's original insight to further explain the relationship between the interest rate and inflation. For example, Mundell (1963) uses the Pigou real balance effect to show that the real rate of interest is inversely related to inflation. Conversely, Santomero (1973) argues that changes in population may give rise to a direct relationship between the real rate of interest and inflation. The

G. Mandelker | J. Jaffe | Jeffrey F. Jaffe | Gershon N. Mandelker

[1] D. Nichols. A NOTE ON INFLATION AND COMMON STOCK VALUES , 1968 .

[2] B. Oudet. Trefftzs Award: The Variation of the Return on Stocks in Periods of Inflation , 1973, Journal of Financial and Quantitative Analysis.

[3] Zvi Bodie,et al. Common Stocks as a Hedge against Inflation , 1976 .

[4] K. ReillyFrank,et al. Inflation, Inflation Hedges, and Common Stocks , 1970 .

[5] E. Fama,et al. Tests of the multiperiod two-parameter model , 1974 .

[6] R. Mundell,et al. Inflation and Real Interest , 1963, Journal of Political Economy.

[7] E. Fama. EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[8] Charles R. Nelson,et al. Inflation and Rates of Return on Common Stocks , 1976 .

[9] P. Hendershott,et al. EXPECTED INFLATION IMPLIED BY CAPITAL MARKET RATES , 1973 .

[10] Lawrence Fisher,et al. Some New Stock-Market Indexes , 1966 .

[11] Anthony M. Santomero. A Note on Interest Rates and Prices in General Equilibrium , 1973 .

[12] I. Fisher,et al. The theory of interest , 1956 .

[13] M. Feldstein,et al. The Fundamental Determinants of the Interest Rate , 1970 .

[14] E. Fama,et al. Short-Term Interest Rates as Predictors of Inflation , 1975 .

[15] R. Roll,et al. INTEREST RATES ON MONETARY ASSETS AND COMMODITY PRICE INDEX CHANGES , 1972 .

[16] E. Fama. Tomorrow on the New York Stock Exchange , 1965 .