Fisher Theory and Stock Returns: An empirical investigation for industry stocks on Vietnamese stock market

Abstract

This paper examines the Fisher hypothesis using 24 industry stocks in Vietnamese stock market. Empirical results in both ex post and ex ante models show a clear rejection of one-to-one relationship between stock returns and (actual/expected/unexpected) inflation, for all industry stock returns. Interestingly, the Fisher hypothesis that common stocks can provide a complete hedge against expected inflation is strongly rejected, given these findings. However, the results show that a number of industry stocks can provide a partial hedge against both ex post and expected inflation. This study has several implications for investors.