Firm characteristics, unanticipated inflation, and stock returns
This paper reexamines the effects of nominal contracts on the relationship between unantici pated inflation and an individual stock's rate of return. This study differs in three main ways from previous research. First, announced i nflation data are used to examine the effects of unanticipated inflat ion. Second, a different specification is used to obtain more efficie nt estimates. Third, additional nominal contracts are considered. The empirical results indicate that time-varying firm characteristics re lated to inflation predominately determine the effect of unanticipate d inflation on a stock's return. A firm's debt-equity ratio appears t o be particularly important in determining the response. Copyright 1988 by American Finance Association.
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|Date of creation:||1988|
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