The share market boom and the recent disinflation in the OECD countries: the tax-effects, the inflation-illusion and the risk-aversion hypotheses reconsidered
摘要
This paper tests the tax-effect, the inflation-illusion and the risk-aversion hypotheses using pooled cross-section and time series data for the OECD countries for the postwar and the Great Depression periods. The estimates suggest that share markets suffer from inflation illusion and fail to incorporate into share prices the tax penalties that are associated with inflation due to depreciation at historical costs.