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

共 50 条

[21] A macroeconomic hedge portfolio and the cross section of stock returns
Renz, Maximilian
Stotz, Olaf
[J]. REVIEW OF FINANCIAL ECONOMICS, 2021, 39 (01) : 73 - 94
[22] ESG, time horizons, risks and stock returns
Dinh, Minh Thi Hong
[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2023, 65
[23] Autocorrelation, return horizons, and momentum in stock returns
Pan M.-S.
[J]. Journal of Economics and Finance, 2010, 34 (3) : 284 - 300
[24] Do Hedge Funds Manage Their Reported Returns?
Agarwal, Vikas
Daniel, Naveen D.
Naik, Narayan Y.
[J]. REVIEW OF FINANCIAL STUDIES, 2011, 24 (10): : 3281 - 3320
[25] Do Hedge Funds Hedge? Be cautious in analyzing monthly returns.
Asness, C
Krail, R
Liew, J
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2001, 28 (01): : 6 - +
[26] Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis
Lee, Bong Soo
[J]. JOURNAL OF BANKING & FINANCE, 2010, 34 (06) : 1257 - 1273
[27] Does the Disclosure of a Hedge Fund Stock Sale Influence Respective Stock Returns?
Schmitz, Jonas Tobias
[J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2021, 23 (03): : 100 - 115
[28] DO EQUITIES ACT AS A HEDGE AGAINST INFLATION
PRABHAKARAN, M
[J]. ECONOMIC AND POLITICAL WEEKLY, 1989, 24 (08) : M24 - M26
[29] Do exchange rate and inflation rate matter in the cyclicality of oil price and stock returns?
Philips, Abiodun S.
Akinseye, Ademola B.
Oduyemi, Gabriel O.
[J]. Resources Policy, 2022, 78
[30] Do exchange rate and inflation rate matter in the cyclicality of oil price and stock returns?
Philips, Abiodun S.
Akinseye, Ademola B.
Oduyemi, Gabriel O.
[J]. RESOURCES POLICY, 2022, 78

← 1 2 3 4 5 →