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 …

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey … models of forecasting inflation, the data are low frequency measures which appear anachronistic in the modern era of high … frequency and real-time data. I present a collection of 37 different measures of inflation expectations, including many …

value of German assets and the volatility of returns on them. Instead, it was inflation (and the fear of it) that is largely …

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 present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of … inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused … on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the …

negative relations between asset returns and inflation are addressed. The generalized impulse response functions are adopted … negative relationship between stock prices and inflation. The level of real economic activity affects stock prices positively …

impact of inflation on stock market returns and volatility using monthly time series data from two West African countries … case holds for Ghana. Furthermore, inflation rate and its three month average were found to have significant effect on … stock market volatility in the two countries. Measures employed towards restraining inflation in the two countries …

nominal return on stocks move in one to one correspondence with the expected rate of inflation. The relationship between … nominal stock return and inflation is examined for four stock indices. The empirical results suggest that the Fisher effect …

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 …