Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis

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Are Income and Consumption Taxes Ever Really Equivalent? Evidence from a Real-Effort Experiment with Real Goods (2012, unknown): “(1997) for early survey evidence on money illusion as well as Fehr and Tyran (2001, 2005) for experimental evidence and Brunnermeier and Julliard (2008), Cohen et al. (2005) and Kooreman et al.”
Cross-sectional forecasts of the equity premium (2006, background): “This proxy pre-estimates the function that maps various firm characteristics into expected returns and then regresses the current fitted values on betas, recovering the market premium implied by the firm-level return forecasts.”
Leverage Aversion and Risk Parity (2012, background): “1 This evidence complements that large literature documenting that the CAPM is violated empirically (Fama and French (1992), Gibbons (1982), Kandel (1984), Karceski (2002), Shanken (1985)).”
Betting Against Beta (2010, unknown): “Lagged Inflation is equal to the 1-year U.S. CPI inflation rate, lagged 1 month, which is included to account for potential effects of money illusion as studied by Cohen, Polk, and Vuolteenaho (2005), although we do not find evidence of this effect.”