Time-varying inflation risk and stock returns

Autor: Marta Szymanowska, Frans de Roon, Martijn Boons, Fernando Duarte

Publikováno v: Journal of Financial Economics, 136(2), 444-470. Elsevier Science
Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Journal of Financial Economics, 136(2), 444-470. Elsevier

We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of i

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https://research.tilburguniversity.edu/en/publications/a7330ece-bc17-4316-9296-467c26fbc0c6