| Abstrakt: |
This article updates the World Market Wealth Portfolio study presented in Ibbotson and Siegel (1983). In addition, it incorporates some updates of the detailed data on U.S. markets first set forth in Ibbotson and Fall (1979). Stocks, bonds, cash, real estate, and precious metals in 20 industrial countries added up to nearly $30 trillion at the end of 1984, having achieved a compound annual return of 8.39 percent since 1959. Almost all categories of equities and bonds had negative betas when regressed on inflation; that is, higher inflation rates seemed to hurt returns on these assets and lower inflation rates helped. The beta T-statistics for these assets did not, however, support a statistically significant relationship. Cash and real estate had betas below but near one when regressed on inflation, with high 1-statistics indicating that these assets are inflation hedges, although imperfectly so. Metals are extremely responsive to inflation, with a small rise in inflation producing a large rise in metals prices and vice versa. |
