Money and Stock Prices: Comment.

by Richard V.L. Cooper

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In a recent article in the Journal of Financial Economics, Michael Rozeff examines the relationship between money supply and stock returns, an issue which I have also explored in some depth. In the article, Rozeff has misinterpreted considerably my model, methodology, and findings: his major results--though essentially correct--merely duplicate those from my earlier research. Since Rozeff's criticism of my work plays a central role in his attempt to establish his work as a separate contribution to the literature, found it useful to deal with his criticisms on a point-by-point basis. My comments are organized according to the three major areas of Rozeff's criticism of my previous research on money and stock returns: (1) my model and hypotheses, (2) my statistical methodology, and (3) my findings and results. It is demonstrated that Rozeff's major criticisms of my work can be rejected in every instance. 13 pp. Bibliog. (Author)

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