Oct 01, 1986 Fama (1981) suggests that the stock return-inflation correlation is spurious in nature, reflecting only the mechanics of money demand, real activity and inflation imbedded in the quantity theory. In the expectation of a surge (drop) in real activity due to a positive (negative) real shock, stock returns will increase (decrease).
Fama (1981) explained the anomalous negative correlation between inflation and real stock returns by proposing a proxy hypothesis, where the anomalous negative correlation is the result of the.

Eugene Fama ()

American Economic Review, 1981, vol. 71, issue 4, 545-65

Fama 1981 stock returns real activity inflation and money loss

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Date: 1981
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