. For the purpose of the market beta analysis, the MSCI World index is also used as a global equities proxy in a linear … benchmarking infrastructure. The high correlation of the main listed infrastructure indices with the broad equity index MSCI World …

Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when … countries with hyperinflation. In this paper, I examine the stock return-inflation relation under different monetary policy … regimes and conditions using an expanded dataset of 71 economies. Empirical evidence suggests that the stock return-inflation …

Inflation risk is greatest in times of national or global stress; inflation risk is a form of a “tail risk.” A … traditional portfolio of stocks and bonds is exposed to inflation risk. The specific nature of an investor's liabilities and … spending determines inflation sensitivity beyond that of the asset portfolio. Commodities and TIPS are the most effective short …

inflation volatility have revived the debate on medium to long-term resurgence of inflation. This paper presents the optimal … strategic asset allocation for investors seeking to hedge inflation risk. Using a vector-autoregressive model, we investigate …, inflation-linked bonds, equities, commodities and real estate play an essential role. In a stable environment (“Great Moderation …

We study the relation between US inflation and the performance of global asset classes (including bonds, stocks … recent 30 years (1991–2020). We find that most assets had positive average real returns in both low- and high-inflation years …. While average real returns were lower in years with higher inflation for most assets, many of the differences are not …

We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … reflection of a low real risk-free rate, low inflation expectations and a low cost for hedging inflation risks. We have not …