Do stock returns hedge inflation at long horizons?

被引：1

作者：

Austin, Adrian ^{[1
]}

Dutt, Swarna ^{[1
]}

机构：

[1] Univ West Georgia, Richards Coll Business, Dept Econ, Carrollton, GA 30118 USA

来源：

APPLIED ECONOMICS LETTERS | 2016年 / 23卷 / 13期

关键词：

Stock returns; inflation; fisher equation; ASSET RETURNS;

D O I：

10.1080/13504851.2015.1122725

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the long-horizon relationship between market returns and inflation in the United States. Conventional tests for long horizon predictability may reject the null too frequently when the predictor variable is highly persistent and endogenous and there are overlapping observations. We use a recently developed econometric technique designed to overcome these problems. We find little to no evidence that securities are able to hedge inflation.

引用

页码：936 / 939

页数：4

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