Inflation expectations and the returns of growth and value stocks

This paper examines the effect of inflation expectations and inflation surprises on growth and value stocks .Inflation is often identified as a major conditioning variable that influences future stock returns. Using a GARCH (1,1) model, I assess the impact of expected inflation produced by consumers...

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Detalhes bibliográficos
Autor principal: Ramos, Martim Pita Silva (author)
Formato: masterThesis
Idioma:eng
Publicado em: 2022
Assuntos:
Stock returns
Monetary policy
Value stocks
Growth stocks
Inflation expectations
Inflation surprises
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Texto completo:http://hdl.handle.net/10362/142263
País:Portugal
Oai:oai:run.unl.pt:10362/142263

Texto Completo

http://hdl.handle.net/10362/142263

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