Stock returns and inflation risk: economic versus statistical evidence

• Autores: Tomek Katzur, Laura Spierdijk
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 23, Nº. 13-15, 2013, págs. 1123-1136
• Idioma: inglés
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• Resumen

  • A widespread assumption in the economic literature is that an asset is a good hedge against inflation if the Fisher hypothesis holds, that is, if nominal asset returns move in parallel with expected inflation. We propose a new measure for assessing the inflation risk exposure of an asset. This measure reflects the economic influence of inflation rates on asset returns in a context of portfolio optimization and accounts for parameter uncertainty. We show that the economic significance of the influence of expected inflation on stock returns can be substantial, despite a lack of traditional evidence against the Fisher hypothesis.