On Fiscal Policy and the Stock Market
利用加拿大季度数据，实证发现股票价格对财政政策变动存在显著滞后反应，且预期与非预期的财政政策变化均与当前股价有滞后关系，表明加拿大股票市场在财政政策信息方面缺乏效率。
This paper provides some empirical evidence on the relationship between aggregate quarterly stock prices and other macro variables, including measures of monetary and fiscal policy in Canada. The results indicate the presence of significant lags in the reaction of stock prices to fiscal policy moves. To the extent that a proxy for the fiscal policy effect on required (expected) return to capital was included in the model, such a finding conflicts with the stock market efficiency hypothesis. Further tests also suggest that anticipated and unanticipated fiscal policy changes have significant lagged relationships with current stock prices. The Canadian stock market, therefore, appears to have been inefficient with respect to available information on fiscal policy. Copyright 1988 by Ohio State University Press.