Employing dividend yield decomposition, this paper explores the inflation illusion and inflation hedging effects on … REIT stock prices. Results show that changes in expected inflation explain a large share of the time series variation of … the mispricing components of the dividend yield. Also, while both inflation hedging and inflation illusion effects exist …

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 …

Fundamentally, stocks are a good hedge against inflation if corporate profitability keeps up with inflation. Using … monthly stock-market data covering over 151 years from 1871 to 2022, this paper analyzes the relationship between inflation … between corporate profitability and inflation varies across sample periods, time horizons, and ranges of inflation. Corporate …

portfolios, but liquidity comes at a cost: inflation. The OTC market serves as a secondary asset market, in which agents can … value because they help agents avoid the inflation tax. -- monetary-search models ; liquidity ; asset prices ; over …