Abstract
This letter is intended to demonstrate that price inflation and stock returns display differing relationships depending on the measure of inflation used. Using data from 1966 – 2009, it appears that no correlation exists between any measure of price inflation and stock returns or dividend yield in the period 1983 – 2009. We do find a negative correlation between monetary inflation and dividend yield for the full sample. We also question the regularity that price inflation and stock returns are negatively related in post-World War II. This appears to depend on the specification of the model used.