Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Inflation Inflation Risk And Stock Returns full books in PDF, epub, and Kindle. Read online Inflation Inflation Risk And Stock Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : John Ammer
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (848 download)
Download or read book Inflation, Inflation Risk, and Stock Returns written by John Ammer and published by . This book was released on 1992 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martijn Boons
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (13 download)
Download or read book Time-Varying Inflation Risk and Stock Returns written by Martijn Boons and published by . This book was released on 2019 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 consumption-based asset pricing model, we argue that inflation risk is priced because inflation predicts real consumption growth. The historical changes in this predictability and in stocks' inflation betas can account for the size, variability, predictability and sign reversals in inflation risk premia.
Author : María de la O. González Pérez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Can US Stocks Provide a Safe Haven from Interest and Inflation Risk? written by María de la O. González Pérez and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mingshen Chen
Publisher :
ISBN 13 :
Total Pages : 254 pages
Book Rating : 4.3/5 (129 download)
Download or read book Stock Returns, Inflation, and the Firm Size Effect written by Mingshen Chen and published by . This book was released on 1992 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr. Zhongxia Zhang
Publisher : International Monetary Fund
ISBN 13 : 1513586750
Total Pages : 59 pages
Book Rating : 4.5/5 (135 download)
Download or read book Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets written by Mr. Zhongxia Zhang and published by International Monetary Fund. This book was released on 2021-08-20 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when monetary policy is countercyclical. Previous empirical studies mostly focus on a small group of developed countries or a few countries with hyperinflation. In this paper, I examine the stock return-inflation relation under different monetary policy regimes and conditions using an expanded dataset of 71 economies. Empirical evidence suggests that the stock return-inflation relation is partially driven by monetary policy. If a country’s monetary authority conducts a more countercyclical monetary policy, the stock return-inflation relation becomes more negative. In addition, the results differ by monetary policy framework. In exchange rate anchor countries, stock markets do not respond to monetary policy cyclicality. In inflation targeting countries, stock markets react more strongly to inflation. A key contribution of this paper is to classify inflation targeters by their behaviors, and illustrate that behavior matters in shaping market perceptions: markets react to inflation and monetary policy cyclicality when central banks are able to control inflation within their target bands. In this case markets are sensitive to inflation dynamics when inflation is above the announced target bands. Finally, when monetary policy is constrained by the Zero Lower Bound (ZLB), a structural break is introduced and real stock returns no longer respond to inflation and monetary policy cyclicality.
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Dominic Burkhardt
Publisher :
ISBN 13 :
Total Pages : 77 pages
Book Rating : 4.:/5 (13 download)
Download or read book Time-Varying Inflation Risk and the Cross-Section of Stock Returns written by Dominic Burkhardt and published by . This book was released on 2014 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: I provide empirical evidence indicating that inflation risk is time-varying and priced in the cross-section of individual stocks in the U.S. and UK equity markets. I establish that the way inflation risk is priced in equity markets is closely related to the cyclicality of inflation. I show that the market price of inflation shocks is positive (negative) in the cross-section of individual stocks when inflation is procyclical (countercyclical) and hence comoves positively (negatively) with measures of economic activity. As a consequence, risk premiums on stocks with positive/negative exposure to inflation shocks depend on whether the economy is in a pro- or countercyclical inflation regime. A zero-investment strategy that goes long low (high) inflation-beta stocks and short high (low) inflation-beta stocks when inflation is countercyclical (procyclical) yields economically large and statistically significant return premiums in both markets, even after controlling for well-known risk-factors.
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author : Jon Allan Hooks
Publisher :
ISBN 13 :
Total Pages : 310 pages
Book Rating : 4.3/5 (129 download)
Download or read book Inflation, Inflation Accounting, and Real Stock Returns written by Jon Allan Hooks and published by . This book was released on 1989 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Takato Hiraki
Publisher :
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.F/5 ( download)
Download or read book The Effect of Inflation on Equity Returns written by Takato Hiraki and published by . This book was released on 1985 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Heungju Park
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Interest Rate Risk, Inflation, and the Cross Section of Stock Returns written by Heungju Park and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We posit that the pricing mechanism of interest rate risk is contingent upon the prevailing inflation levels; in times of high (low) inflation, a positive (negative) shock to interest rates is indicative of a negative economic state. In line with this proposition, we introduce a conditional interest rate factor, defined as the shock to interest rates multiplied by the standardized inflation level. The proposed single factor effectively indicates the states of both raising interest rates to combat inflation and lowering interest rates to counteract a recession. We find supporting evidence that interest rate risk is not unconditionally priced, but rather contingent upon inflation. Specifically, the sensitivity of stock returns to interest rate innovation cannot account for the cross-section of stock returns, but when interacted with standardized inflation, it produces significant cross-sectional return differences, even after controlling for standard risk factors. Moreover, when examining standard equity portfolios as test assets, our conditional interest rate factor outperforms its unconditional counterpart in terms of pricing performance, as measured by R2 and absolute pricing error, and is comparable to the Fama-French three-factor model. Finally, we provide further validation for our proposed factor by demonstrating its ability to predict future consumption growth and achieving a Sharpe ratio comparable to the tangency portfolio.
Author : Chi-cheng Hsia
Publisher :
ISBN 13 :
Total Pages : 364 pages
Book Rating : 4.:/5 ( download)
Download or read book Inflation Risk and Capital Asset Pricing written by Chi-cheng Hsia and published by . This book was released on 1974 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Liuren Wu
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Market Pricing of Economic Risks and Stock Returns written by Liuren Wu and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the market prices of economic risks from the stock market, while overcoming the challenges faced by existing studies. First, we use two dynamic factors, one real and the other nominal, to summarize the systematic information and to suppress the noise in a large array of economic indicators. Second, in linking systematic economic risks to stock returns, we carefully separate the cash flow effect from the pricing kernel effect. We first estimate the economic risk exposures for each individual stock, and then investigate how the expected return on each stock varies with its economic risk exposures. The different risk exposure estimates for different stocks capture the cash flow effect. How the expected stock return varies with the economic risk exposure reveals how the market prices the economic risks. Our estimation shows that the market charges a positive price for the real output growth risk, but a negative price for the inflation risk.
Author : Martijn Boons
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Stock Market Price of Inflation Risk and Its Variation Over Time written by Martijn Boons and published by . This book was released on 2014 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inflation risk premium (IRP) in the U.S. stock market varies over time. We use individual stocks to estimate the IRP, because this provides us with a heterogeneous cross-section of exposures. We find that the IRP is a significant -5.5% since the 1960s, but reverses to an insignificant positive value in the recent decade. Consistent with this reversal, we find that the IRP is more negative in recessions historically, but more positive in the two latest recessions. We show that both the introduction of Treasury Inflation Protected Securities (TIPS) in 1997, an attractive alternative inflation hedge, and a reversal in the covariance between inflation and the real economy at the end of the 1990s contribute to this reversal. These findings are consistent with inflation as a state variable in the intertemporal capital asset pricing model (ICAPM).
Author : Evuru Poleraiah
Publisher : Epoleraiah Books
ISBN 13 : 9781805459552
Total Pages : 0 pages
Book Rating : 4.4/5 (595 download)
Download or read book IMPACT OF INFLATION ON EQUITY STOCK RETURNS - AN EMPIRICAL STUDY OF SELECT INDIAN BLUE CHIP COMPANIES written by Evuru Poleraiah and published by Epoleraiah Books. This book was released on 2022-11-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is a state of economic condition in which there will be an increase in the general level of prices for goods and services. This book is about a study that attempts to give in-depth understanding of all aspects of inflation such as measurement of inflation, various prevailing hypothesis, relation between inflation & stock markets, causes and effects of inflation economics. It details causes, reasons & lessons from inflation and deals about the cost of inflation. The topics of CPI, other causes of inflation, fiscal deficits, effects of inflation and various types of inflation are described. Literature review is presented. Following aspects of study are made available. (1) Evaluation of the stock price movements and performance of BSE 30 stocks, (2) Examining the relationship between Inflation and stock returns of sample stocks, (3) Scrutinizing the relation between inflation and sample industries, (4) Understanding the impact of inflation on individual company performance and (5) Investigating causes for inflation and effect on stocks Research methodology is outlined and conceptual and statistical tools applied for analysis are detailed. Data Analysis of Stock Price Performance and Impact of Inflation on Industries are covered. The book covers the study aimed to understand and measure the impact of inflation on individual stock returns and industries. Based on the prior research it is assumed that inflation have negative impact on stock returns and stock markets. Earlier studies reported mixed results. Very few studies reported that inflation will have negative impact on stock returns. At the same time there are studies which argue that inflation will have positive impact on stock returns. On the other hand there are studies which do not find any statistically significant association between inflation and stock returns.
Author : Shaun K. Roache
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book Inflation Hedging for Long-Term Investors written by Shaun K. Roache and published by International Monetary Fund. This book was released on 2009-04 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds and derivatives have been developed to hedge the effects of inflation, their limited supply and liquidity lead many investors to continue to rely on the indirect hedging properties of traditional asset classes. In this paper, we assess these properties over different time horizons, in the context of a diversified portfolio. Using a vector error correction model, we find that effective short-run hedges, such as commodities, may not work over longer horizons and that tactical asset allocation could enhance investment returns following inflation surprises.
Author : Stephen Thomas
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (221 download)
Download or read book The Relation Between Stock Returns and Inflation written by Stephen Thomas and published by . This book was released on 1992 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
