EXPECTATIONS, SECURITY YIELDS, AND INFLATION: EX‐ANTE RISK PREMIA ON UK SHARES, CORPORATE BONDS AND GILTS, 1969–1987
基于CAPM模型估算1969-1987年英国股票、公司债券和政府债券的月度事前风险溢价，发现1970年代风险溢价随通胀同步上升，质疑货币幻觉假说，并指出股票收益与通胀的负相关是虚假的。
This paper provides estimates of monthly risk premia required by investors on shares, corporate bonds and government gilts during the period 1969–1987, based on the CAPM and using deviations between past actual returns and the model's forecast returns as inputs. Ex‐ante risk premia increased dramatically during the 1970s and again on equities in the period around the October 1987 Crash. The risk premia moved closely in line with inflation in the 1970s, casting considerable doubt on the Modigliani and Cohn thesis that the fall in share prices in the middle of that decade was due to the market suffering from money illusion. When account is taken of trends in the premia and inflation timeseries, the correlation between the two disappears. This result is consistent with the findings of others that the widely observed negative correlation between share returns and inflation is a spurious one, traceable to monetary accommodation of supply‐side shocks to the real economy — something which is hard to reconcile with the money illusion argument.