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Stock returns and expected inflation: evidence from an asymmetric test specification

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Author Info

  • Bharat Kolluri

    ()

  • Mahmoud Wahab

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11156-007-0060-9
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Bibliographic Info

Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 30 (2008)
Issue (Month): 4 (May)
Pages: 371-395

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Handle: RePEc:kap:rqfnac:v:30:y:2008:i:4:p:371-395

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Web page: http://springerlink.metapress.com/link.asp?id=102990

Related research

Keywords: Stock returns; Expected inflation; Asymmetry; G11; G12;

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References

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  1. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March.
  2. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  3. Xiaoqiang Hu & Thomas Willett, 2000. "The variability of inflation and real stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 10(6), pages 655-665.
  4. Park, Kwangwoo & Ratti, Ronald A, 2000. "Real Activity, Inflation, Stock Returns, and Monetary Policy," The Financial Review, Eastern Finance Association, vol. 35(2), pages 59-77, May.
  5. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
  6. Mandelker, Gershon & Tandon, Kishore, 1985. "Common stock returns, real activity, money, and inflation: Some international evidence," Journal of International Money and Finance, Elsevier, vol. 4(2), pages 267-286, June.
  7. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
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Cited by:
  1. Andrew Ang & Marie Brière & Ombretta Signori, 2012. "Inflation and Individual Equities," NBER Working Papers 17798, National Bureau of Economic Research, Inc.

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