Econometrica: May, 1986, Volume 54, Issue 3

Inflation and Asset Prices in an Exchange Economy

https://www.jstor.org/stable/1911309
p. 585-606

Jean-Pierre Danthine, John B. Donaldson

This paper studies the pricing of common stocks in the context of a monetary, rational expectations equilibrium. Special attention is given to the relationship between inflation and asset returns.

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