IDEAS home Printed from https://ideas.repec.org/a/eme/ijmfpp/17439130610676493.html
   My bibliography  Save this article

Inflation and bond‐stock characteristics of international security returns

Author

Listed:
  • Moon K. Kim
  • Ravi Shukla

Abstract

Purpose - The purpose of this research is to explain the cross‐sectional variation in the relation between international security returns and expected inflation based on their sensitivities to world stock and bond factors. Design/methodology/approach - The paper shows regress inflation sensitivities of returns on country indexes and international mutual funds on their sensitivities to world stock and bond indexes. Findings - This paper shows the inflation sensitivity of a security is positively (negatively) related to its sensitivity to the world bond index (world stock index). Research limitations/implications - The paper shows that while the model is applicable to individual securities as well as portfolios, it is tested using portfolios only. Originality/value - The paper shows the results allow one to assess the inflation sensitivity of a security using its sensitivity to the bond and the stock market. The more bond‐like a security is, the higher its sensitivity to inflation.

Suggested Citation

  • Moon K. Kim & Ravi Shukla, 2006. "Inflation and bond‐stock characteristics of international security returns," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 2(3), pages 241-251, July.
    • Handle: RePEc:eme:ijmfpp:17439130610676493
    DOI: 10.1108/17439130610676493
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/17439130610676493/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/17439130610676493/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/17439130610676493?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:ijmfpp:17439130610676493. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.