Time-varying inflation risk and stock returns
| Autor: | Marta Szymanowska, Frans de Roon, Martijn Boons, Fernando Duarte |
|---|---|
| Přispěvatelé: | Department of Finance, Research Group: Finance, NOVA School of Business and Economics (NOVA SBE) |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
Time-varying inflation risk premium Risk premium Strategy and Management cross-sectional asset pricing Cross-sectional asset-pricing Accounting 0502 economics and business Econometrics Economics Individual stock returns Inflation hedging Capital asset pricing model Predictability inflation Stock (geology) 040101 forestry Nominal-real covariance 050208 finance 05 social sciences 04 agricultural and veterinary sciences Inflation inflation hedging 0401 agriculture forestry and fisheries time-varying inflation risk premium nominal-real covariance Finance |
| Zdroj: | 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 |
| ISSN: | 1879-2774 0304-405X |
| Popis: | 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 inflation risk changing over time. Using a consumption-based asset pricing model, we argue that inflation risk is priced because inflation predicts real consumption growth. The historical changes in this predictability and in stocks’ inflation betas can account for the size, variability, predictability, and sign reversals in inflation risk premia. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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