Showing 1 - 10 of 3,877
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 …
Persistent link: https://www.econbiz.de/10009752802
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 …
Persistent link: https://www.econbiz.de/10014632362
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 …
Persistent link: https://www.econbiz.de/10012919197
The bedrock of financial economics is that there should be a tradeoff between risk and reward: an investment with low risk should have a low expected return, while one that could make you rich should also be one which could lose you a lot of money. A lot of research in finance is focused on...
Persistent link: https://www.econbiz.de/10013405178
The present study investigate the relationship between sensex returns and Indian-USD Exchange rates and the impact of the time series on each other. Exchange rate fluctuation will effect international trades, thus influence the stock market. The study is based on the secondary sources obtained...
Persistent link: https://www.econbiz.de/10013010435
Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...
Persistent link: https://www.econbiz.de/10011770624
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10011657891
This study aims to explore the extent to which changes in wealth contributes to inflation utilizing a highly flexible …
Persistent link: https://www.econbiz.de/10014573996
). Companies that more frequently refer to inflation in their conference calls with analysts performed worse. Internationally …
Persistent link: https://www.econbiz.de/10013192064
In any economy, changes in inflation rate influence almost all economic activities directly or indirectly. In the … economic theory, it is understood that low and stable inflation is desired as a key objective of economic policy. On the … contrary, high inflation is widely believed to hold back economic growth and is contrary to social justice. Thus the …
Persistent link: https://www.econbiz.de/10012972836