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

Author

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  • Bharat Kolluri

    ()

  • Mahmoud Wahab

    ()

Abstract

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Suggested Citation

  • Bharat Kolluri & Mahmoud Wahab, 2008. "Stock returns and expected inflation: evidence from an asymmetric test specification," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 371-395, May.
  • Handle: RePEc:kap:rqfnac:v:30:y:2008:i:4:p:371-395
    DOI: 10.1007/s11156-007-0060-9
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    References listed on IDEAS

    as
    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. 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.
    3. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
    4. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    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. 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.
    7. 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.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. repec:kap:atlecj:v:45:y:2017:i:2:d:10.1007_s11293-017-9543-9 is not listed on IDEAS
    2. repec:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0622-4 is not listed on IDEAS
    3. Imran Hussain Shah & Ahmad Hassan Ahmad, 2017. "How important is the financial sector to price indices in an inflation targeting regime? An empirical analysis of the UK and the US," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1063-1082, May.
    4. Andrew Ang & Marie Brière & Ombretta Signori, 2012. "Inflation and Individual Equities," NBER Working Papers 17798, National Bureau of Economic Research, Inc.
    5. repec:taf:applec:v:49:y:2017:i:18:p:1794-1807 is not listed on IDEAS
    6. Claudiu Albulescu & Christian Aubin & Daniel Goyeau, 2016. "Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes," Papers 1603.01231, arXiv.org.
    7. Kolluri, Bharat & Wahab, Susan & Wahab, Mahmoud, 2015. "An examination of co-movements of India's stock and government bond markets," Journal of Asian Economics, Elsevier, vol. 41(C), pages 39-56.
    8. Kim, Jae H. & Ryoo, Heajin H., 2011. "Common stocks as a hedge against inflation: Evidence from century-long US data," Economics Letters, Elsevier, vol. 113(2), pages 168-171.
    9. Claudiu Tiberiu Albulescu & Christian Aubin & Daniel Goyeau, 2017. "Stock prices, inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes," Applied Economics, Taylor & Francis Journals, vol. 49(18), pages 1794-1807, April.

    More about this item

    Keywords

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

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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