Stock returns and expected inflation: evidence from an asymmetric test specification

Stock returns and expected inflation: evidence from an asymmetric test specification Previous studies that examined the relationship between stock returns and inflation have used a symmetric test specification, and have reported evidence of an inverse relation. We use an asymmetric model to re-examine this fundamental relationship between stock returns and inflation. We partition the study period into sub-samples of high and low inflation regimes. An inverse relation between stock returns and inflation forecasts is found during only low inflation periods, while a positive relation is detected through high inflation periods. In combination, results from both high and low inflation regimes suggest that stocks have delivered favorable inflation protection. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Stock returns and expected inflation: evidence from an asymmetric test specification

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Publisher
Springer US
Copyright
Copyright © 2007 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-007-0060-9
Publisher site
See Article on Publisher Site

References

  • Stock prices and inflation: new evidence from the Pacific-Basin countries
    Al-Khazali, O; Chong Soo, P

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