hedging approach can eliminate nearly 90 percent of the tracking error of more conventional inflation hedging strategies. We … also find that long-short positions in equities play a dominant role in the effective hedging of inflation risk over …We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that …

We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate … inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than stocks with low … inflation betas and tend to be drawn from the Oil and Gas and Technology sectors. However, we show that there is substantial …

hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit … a two-factor structure, and their factor loadings depend on their weights in the hedging portfolio. This allows us to … empirically identify the hedging portfolio using volume data. We then test the two properties of the hedging portfolio: its return …

, but not at long horizons. At horizons of several years, complete hedging not only does not lower return variance, it … apparent causes, and investigates their implications for hedging practice …

. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations … in climate news both in-sample and out-of-sample. The resulting hedge portfolios outperform alternative hedging …

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

when the investor has access to nominal bonds and a stock portfolio. In the presence of unhedgeable inflation risk, there … failure of the expectations hypothesis seen in the data. We extend this model to account for time-varying expected inflation …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the …