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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Bibliographic Details
Main Author: Ramos, Martim Pita Silva (author)
Format: masterThesis
Language:eng
Published: 2022
Subjects:
Stock returns
Monetary policy
Value stocks
Growth stocks
Inflation expectations
Inflation surprises
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10362/142263
Country:Portugal
Oai:oai:run.unl.pt:10362/142263

Internet

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

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