Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis*
检验莫迪利亚尼和科恩提出的股市货币幻觉假说，即市场用名义折现率折现实际现金流，通过对比国债、安全股和风险股的定价来区分货币幻觉与风险偏好变化，实证结果支持该假说。
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.