Firm characteristics, unanticipated inflation, and stock returns
AbstractThis paper re-examines the effects of nominal contracts on the relationship between unanticipated inflation and individual stock's rate of return. This study differs in three main ways from previous research. First, announced inflation data are used to examine the effects of unanticipated inflation. Second, a different specification is used to obtain more efficient estimates. Third, additional nominal contracts are considered. The empirical results indicate that time-varying firm characteristics related to inflation predominately determine the effect of unanticipated inflation on a stock's rate of return. A firm's debt-equity ratio appears to be particularly important in determining the response.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Federal Reserve Bank of Kansas City in its series Research Working Paper with number 88-01.
Date of creation: 1988
Date of revision:
Other versions of this item:
- Pearce, Douglas K & Roley, V Vance, 1988. " Firm Characteristics, Unanticipated Inflation, and Stock Returns," Journal of Finance, American Finance Association, vol. 43(4), pages 965-81, September.
- Douglas K. Pearce & V. Vance Roley, 1989. "Firm Characteristics, Unanticipated Inflation, and Stock Returns," NBER Working Papers 2366, National Bureau of Economic Research, Inc.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Levinsohn, J. & Mackie-Mason, J.K., 1989.
"A Simple, Consistent Estimator For Disturbance Components In Financial Models,"
443, Stockholm - International Economic Studies.
- Levinsohn, James & MacKie-Mason, Jeffrey K, 1990. "A Simple, Consistent Estimator for Disturbance Components in Financial Models," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 516-20, August.
- Levinsohn, J. & Mackie-Mason, J.K., 1989. "A Simple, Consistent Estimate For Disturbance Components In Financial Models," Working Papers 243, Research Seminar in International Economics, University of Michigan.
- Levinsohn, J. & Mackie-Mason, J., 1989. "A Simple, Consistent Estimator For Disturbance Components In Financial Models," Papers 89-16, Michigan - Center for Research on Economic & Social Theory.
- James A. Levinsohn & Jeffrey K. MacKie-Mason, 1989. "A Simple, Consistent Estimator for Disturbance Components in Financial Models," NBER Technical Working Papers 0080, National Bureau of Economic Research, Inc.
- Ross Jennings & Gustavo Maturana, 2005. "The Usefulness Of Chilean Inflation Accounting," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 8(1), pages 85-118.
- John Ammer, 1994. "Inflation, inflation risk, and stock returns," International Finance Discussion Papers 464, Board of Governors of the Federal Reserve System (U.S.).
- Lumpkin, Stephen A. & O'Brien, James M., 1997. "Thrift stock returns and portfolio interest rate sensitivity," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 341-357, July.
- Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
- Kwon, Chung S. & Shin, Tai S., 1999. "Cointegration and causality between macroeconomic variables and stock market returns," Global Finance Journal, Elsevier, vol. 10(1), pages 71-81.
- Steven A. Sharpe, 1999. "Stock prices, expected returns, and inflation," Finance and Economics Discussion Series 1999-02, Board of Governors of the Federal Reserve System (U.S.).
- Grant McQueen & V. Vance Roley, 1990. "Stock Prices, News, and Business Conditions," NBER Working Papers 3520, National Bureau of Economic Research, Inc.
- Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
- Antonio Díaz & Francisco Jareño, 2013. "Inflation news and stock returns: market direction and flow-through ability," Empirical Economics, Springer, vol. 44(2), pages 775-798, April.
- Reffett, Kevin L., 1995. "Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 569-597, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lu Dayrit).
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.