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Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis / Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho.
- Format:
- Book
- Author/Creator:
- Cohen, Randolph B.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w11018.
- NBER working paper series no. w11018
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Money Illusion in the Stock Market
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- 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.
- Notes:
- Print version record
- January 2005.
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