Hostname: page-component-78c5997874-m6dg7 Total loading time: 0 Render date: 2024-11-15T07:13:56.588Z Has data issue: false hasContentIssue false
  • English
  • Français

Risk and Inflation

Published online by Cambridge University Press:  06 April 2009

Eric C. Chang  and
J. Michael Pinegar
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper examines the effect of risk differences on the oft-documented negative relationship between stock returns and inflation. We find risk-related patterns of coefficients on our estimates of the level and change in expected inflation and on unexpected inflation. These patterns are consistent with the hypothesis developed in Fama [2] and in Geske and Roll [7] that future real output growth simultaneously helps to determine current stock returns and various measures of inflation.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 1 , March 1987 , pp. 89 - 99
Copyright
Copyright © School of Business Administration, University of Washington 1987

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Chang, E. C., and Pinegar, J. M.. “Inflation and Rates of Return on Long-term Bonds.” Economics Letters, 20, No. 2 (1986), 125–127.CrossRefGoogle Scholar
[2]Fama, E. F. “Stock Returns, Real Activity, Inflation, and Money”. American Economic Review, 71 (09. 1981), 545–565.Google Scholar
[3]Fama, E. F., and Gibbons, M. R.. “Inflation, Real Returns, and Capital Investment”. Journal of Monetary Economics, 9 (05 1982), 297–323.CrossRefGoogle Scholar
[4]Fama, E.F., and Gibbons, M.R.. “A Comparison of Inflation Forecasts”. Journal of Monetary Economics, 13 (05 1984), 327–348.CrossRefGoogle Scholar
[5]Fama, E. F., and Schwert, G. W.. “Asset Returns and Inflation”. Journal of Financial Economics, 5 (11 1977), 115–146.CrossRefGoogle Scholar
[6]Fisher, I. The Theory of Interest. New York, NY: MacMillan (1930).Google Scholar
[7]Geske, R., and Roll, R.. “The Fiscal and Monetary Linkage between Stock Returns and Inflation”. Journal of Finance, 38 (03 1983), 1–33.CrossRefGoogle Scholar
[8]Huizinga, J., and Mishkin, F. S.. “Inflation and Real Interest Rates on Assets with Different Risk Characteristics”. Journal of Finance, 39 (07 1984), 699–711.CrossRefGoogle Scholar
[9]Jaffe, J. F., and Mandelker, G.. “The ‘Fisher Effect’ for Risky Assets: An Empirical Investigation”. Journal of Finance, 31 (05 1976), 447–458.CrossRefGoogle Scholar
[10]Jaffe, J.F., and Mandelker, G.. “Inflation and Holding Period Returns on Bonds”. Journal of Financial and Quantitative Analysis, 14 (12 1979), 959–979.CrossRefGoogle Scholar
[11]Jensen, M. C. “The Performance of Mutual Funds in the Period 1945–1964”. Journal of Finance, 23 (05 1968), 389–416.Google Scholar
[12]Lintner, J. “Inflation and Security Returns”. Journal of Finance, 30 (05 1975), 259–280.Google Scholar
[13]Maddala, G. S.Econometrics. New York, NY: McGraw-Hill (1977).Google Scholar
[14]Nelson, C. R. “Inflation and Rates of Return on Common Stocks”. Journal of Finance, 31 (05 1976), 471–483.CrossRefGoogle Scholar
[15]Solnik, B. “The Relation between Stock Prices and Inflationary Expectations: The International Evidence”. Journal of Finance, 38 (03 1983), 35–48.CrossRefGoogle Scholar