Time-varying inflation risk and stock returns

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 consumpt...

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Bibliographic Details
Main Author: Boons, Martijn (author)
Other Authors: Duarte, Fernando (author), de Roon, Frans (author), Szymanowska, Marta (author)
Format: article
Language:eng
Published: 2019
Subjects:
Cross-sectional asset-pricing
Individual stock returns
Inflation
Inflation hedging
Nominal-real covariance
Time-varying inflation risk premium
Accounting
Finance
Economics and Econometrics
Strategy and Management
Online Access:https://doi.org/10.1016/j.jfineco.2019.09.012
Country:Portugal
Oai:oai:run.unl.pt:10362/88704

Internet

https://doi.org/10.1016/j.jfineco.2019.09.012

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