Advanced Search
MyIDEAS: Login

Asymmetric and cross-sectional effects of inflation on stock returns under varying monetary conditions

Contents:

Author Info

  • Marc W. Simpson
  • Sanjay Ramchander
Registered author(s):

    Abstract

    This study examines the relationship between returns on portfolios, comprised of stocks of various size and book values, and changes in inflation. The relationship is evaluated in the context of positive and negative changes in expected and unexpected inflation, and expansionary and contractionary monetary policy conditions. Results from the panel estimation procedure show that inflation has a strong asymmetric impact on stock returns, and this may explain why simply summing up inflation shocks, as in previous studies, could lead to misleading conclusions. This article concludes that the nature of this asymmetric relationship is complex and contingent on several factors including the state of the monetary policy, whether one is examining expected or unexpected inflation shocks, and the size and book values of the stocks. In general, a positive shock to expected and unexpected inflation has a favourable impact on stock returns during monetary expansion, but not during monetary tightening.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://hdl.handle.net/10.1080/09603107.2011.610741
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 22 (2012)
    Issue (Month): 4 (February)
    Pages: 285-298

    as in new window
    Handle: RePEc:taf:apfiec:v:22:y:2012:i:4:p:285-298

    Contact details of provider:
    Web page: http://www.tandfonline.com/RAFE20

    Order Information:
    Web: http://www.tandfonline.com/pricing/journal/RAFE20

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:4:p:285-298. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.