Inflação e retorno do mercado acionário em países desenvolvidos e emergentes

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Paulo Renato Soares Terra


Different explanations have been suggested to the puzzling negative relationship observed between real stock returns and inflation. The most popular ones are the Tax-Effects Hypothesis (Feldstein, 1980), the Proxy Hypothesis (Fama, 1981), and the Reverse Causality Hypothesis (Geske & Roll, 1983). The causality chain between the variables is crucial to sort out which hypothesis best fits the data. This study extends this line of research to a sample of seven Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela). A Vector Autoregression (VAR) analysis is performed in order to investigate the causality relationships among real stock returns, real interest rates, real activity, and inflation. The same methodology is also conducted for the Group of Seven (Germany, Canada, France, Italy, Japan, the United Kingdom, and the United States), and their results are then compared. My findings indicate that the differences between industrial and developing countries are not as sharp as one could initially presume. Also, the results do not in general support previous findings for the United States even among other industrial countries, which suggests that the North American evidence cannot be generalized worldwide.


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How to Cite
Terra, P. R. S. (1). Inflação e retorno do mercado acionário em países desenvolvidos e emergentes. Journal of Contemporary Administration, 10(3), 133-158.
Author Biography

Paulo Renato Soares Terra, Universidade do Vale do Rio dos Sinos Programa de Pós-Graduação em Ciências

- Doutor em Administração pela McGill University (Montreal, Canadá). Professor Adjunto do Programa de Pós-Graduação em Ciências Contábeis da Universidade do Vale do Rio dos Sinos (Unisinos). Suas áreas de interesse em pesquisa são finanças corporativas, endividamento e estrutura de capital, governança corporativa, mercados de capitais, finanças internacionais, métodos quantitativos de pesquisa aplicados em finanças e contabilidade