by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …

Compared with stocks, bonds are more directly affected by fluctuations in oil prices through the expected inflation … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other … bond yield, breakeven inflation, and nominal bond yield respond differently to oil supply and demand shocks …

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in … inability of infrastructure sector returns in emerging markets to hedge inflation. Similar results were obtained when the … inflation-hedging capacity of real estate and general listed equity was assessed. This suggests the existence of significant …

This study investigates the reaction of stock returns to the inflation announcement using time series data from 2012 to … 2018. To check the market efficiency or semi-strong efficiency of the Indian Stock Market for inflation announcement, we … have used an event study methodology. We selected nine events based on consensus estimate and actual inflation number; we …

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 …

Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real … estate. There still exists a lack of appropriate strategy to hedge against inflation. Objectives: This paper examines the … possibilities for hedging against inflation in Croatia offered by the Zagreb Stock Exchange indices. Methods/Approach: Based on …

The linkage between stock prices and inflation has been subjected to extensive research in the past decades and has … issue has been the apparent anomaly of the negative relationship between inflation and stock market returns as most studies … effective hedge against inflation in Nigeria. …

solutions, all have failed as these attempts implicitly assume perfectly-correct inflation statistics. Examining these … assumptions, we discover that not only are the inflation numbers materially flawed, but more so, there are significant incentives … for government entities to under-report inflation. With this, we find that to explain the Equity Premium Puzzle, inflation …

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 …