Moerman, Gerard A.; Dijk, Mathijs A. van - In: Journal of Banking & Finance 34 (2010) 4, pp. 840-855
We show that inflation risk is priced in international asset returns. We analyze inflation risk in a framework that encompasses the International Capital Asset Pricing Model (ICAPM) of Adler and Dumas (1983). In contrast to the extant empirical literature on the ICAPM, we relax the assumption...