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来源类型Working Paper
规范类型报告
DOI10.3386/w11018
来源IDWorking Paper 11018
Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis
Randolph B. Cohen; Christopher Polk; Tuomo Vuolteenaho
发表日期2005-01-10
出版年2005
语种英语
摘要Modigliani and Cohn [1979] hypothesize that the stock market suffers from money illusion, discounting real cash flows at nominal discount rates. While previous research has focused on the pricing of the aggregate stock market relative to Treasury bills, the money-illusion hypothesis also has implications for the pricing of risky stocks relative to safe stocks. Simultaneously examining the pricing of Treasury bills, safe stocks, and risky stocks allows us to distinguish money illusion from any change in the attitudes of investors towards risk. Our empirical resuts support the hypothesis that the stock market suffers from money illusion.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; History ; Financial History
URLhttps://www.nber.org/papers/w11018
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/568653
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Randolph B. Cohen,Christopher Polk,Tuomo Vuolteenaho. Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis. 2005.
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