Money illusion in the stock market: The Modigliani-Cohn hypothesis

被引:51
作者
Cohen, RB [1 ]
Polk, C
Vuolteenaho, T
机构
[1] Harvard Univ, Sch Business, Cambridge, MA 02138 USA
[2] Northwestern Univ, JL Kellogg Grad Sch Management, Evanston, IL 60208 USA
[3] Natl Bur Econ Res, Cambridge, MA 02138 USA
关键词
D O I
10.1093/qje/120.2.639
中图分类号
F [经济];
学科分类号
02 ;
摘要
Modigliani and Cohn 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 toward risk. Our empirical results support the hypothesis that the stock market suffers from money illusion.
引用
收藏
页码:639 / 668
页数:30
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