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The equity premium and inflation

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Author Info
John Beirne
Gabe de Bondt

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Abstract

This empirical study examines the relation between the equity premium - the difference between the expected stock and risk-free return - and inflation in the major economies in the post-Bretton Woods era. We estimate a country-average level of the equity premium between 0.8% and 2%, confirming a shrinking premium. Regressions and impulse responses show that the equity premium significantly positively adjusts to inflation. Inflation is thus essential in explaining the level of the equity premium and provides a partial resolution to the equity premium puzzle.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540801935389&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 4 (2008)
Issue (Month): 6 ()
Pages: 439-442
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Handle: RePEc:taf:apfelt:v:4:y:2008:i:6:p:439-442

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This page was last updated on 2009-12-15.

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