I establish that inflation risk is priced in the cross section of stock returns: Stocks that have low returns during … inflationary times command a risk premium. I estimate a market price of inflation risk that is comparable in magnitude to the price … of risk for the aggregate market. Inflation is therefore a key determinant of risk in the cross section of stocks. The …

We study investors' perceptions of inflation through the lens of a high-frequency event study and document that they … have a stagflationary view of the world. In response to higher-than-expected inflation, investors expect firms' nominal … even decline, with increases in nominal yields offset by larger increases in inflation expectations. Consistent with a …

We study how investors respond to inflation combining a customized survey experiment with trading data at a time of … historically high inflation. Investors' beliefs about the stock return-inflation relation are very heterogeneous in the cross … section and on average too optimistic. Moreover, many investors appear unaware of inflation-hedging strategies despite being …

I provide empirical evidence indicating that inflation risk is time-varying and priced in the cross-section of … individual stocks in the U.S. and UK equity markets. I establish that the way inflation risk is priced in equity markets is … closely related to the cyclicality of inflation. I show that the market price of inflation shocks is positive (negative) in …

We examine the impact of expected inflation on stock returns. We use inflation forecasts from the Focus survey and real … $ percentage point in expected inflation for the next 12 months is associated with a decline of $ 0.57 $ percentage points in stock … based on changes in inflation expectations from 2003 to 2016 has cumulated real returns of $ 135 $ percent while cumulated …

U.S. stocks' response to inflation surprises is, on average, robustly negative. Stocks' response to positive inflation … surprises shows much more pronounced time-series variability than their response to negative inflation surprises. In our sample …, stocks react significantly to positive inflation surprises only when there is a contemporaneous change in monetary policy …

Using daily inflation data from the Billion Prices Project [Cavallo and Rigobon (2016)], we show how temporal … private agents and the central bank (the “Fed information effect”). We find that the adverse response of daily inflation to … and an unobserved components model of inflation dynamics. To reconcile how one can obtain a sizable adverse response with …

The cost of the FED maintaining a low target level of inflation is measured by Lucas (2000) and Ireland (2009) as the … welfare cost of inflation based on money demand. Their estimates require stability of the money demand function. Ireland finds … inflation to the post-Volcker period …