TY - JOUR JF - mdrsjrns JO - QJER VL - 12 IS - 2 PY - 2012 Y1 - 2012/7/01 TI - Inflation and ROI in the Tehran Stock Market Reexamining the Fama Hypothesis TT - بررسی رابطه تورم و بازده سهام بورس اوراق بهادار تهران: ارزیابی فرضیه جانشینی فاما N2 - In Economics literature many studies tried to examine whether stocks are perfect hedge against inflation. The answer is not conclusive. In this paper, using data from Tehran stock market, the relationship between inflation and stock returns during April 1991 till March 2009 is reexamined. The empirical results have shown that Fisher Hypothesis, which asserts that stocks are perfect hedge against inflation, has been rejected and also it is revealed that stocks are a weak hedge against inflation in Tehran stock market. Fama has already tried to explain why Fisher hypothesis did not hold in some situations. In this paper Fama hypothesis is examined and it is found out that Fama explanation for the rejection of the Fisher hypothesis is hardly acceptable and the negative relationship between inflation and real rate of return of the stocks in Tehran stock market can be attributed to temporary part of the inflation. SP - 117 EP - 135 AU - Azizi, Firouzeh AU - Khodavaisi, Hassan AU - Johari, Fatemeh AD - Assistant Professor of Economics, Tarbiat Modares University KW - Tehran stock exchange KW - G23 KW - G23 KW - Fisher Hypothesis KW - Hedge against inflation KW - Fama Hypothesis JEL Classification: G11 UR - http://ecor.modares.ac.ir/article-18-3481-en.html ER -