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)
This report is part of the RAND Corporation Paper series. The paper was a product of the RAND Corporation from 1948 to 2003 that captured speeches, memorials, and derivative research, usually prepared on authors' own time and meant to be the scholarly or scientific contribution of individual authors to their professional fields. Papers were less formal than reports and did not require rigorous peer review.
This document and trademark(s) contained herein are protected by law. This representation of RAND intellectual property is provided for noncommercial use only. Unauthorized posting of this publication online is prohibited; linking directly to this product page is encouraged. Permission is required from RAND to reproduce, or reuse in another form, any of its research documents for commercial purposes. For information on reprint and reuse permissions, please visit www.rand.org/pubs/permissions.
The RAND Corporation is a nonprofit institution that helps improve policy and decisionmaking through research and analysis. RAND's publications do not necessarily reflect the opinions of its research clients and sponsors.