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Are stocks a hedge against inflation? International evidence using a long-run approach
16 references·16 citing·36 second hopsampled
Are stocks a hedge against inflation? International evidence using a long-run approach (1997)Are stocks a hedge against inflation? Int…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (1991)Testing the Null Hypothesis o…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Stock returns and inflation (1987)Stock returns and inflationCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Dividends, Dilution, and Taxes: A Signalling Equilibrium (1985)Dividends, Dilution, and Taxe…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Asset returns and inflation (1977)Asset returns and inflationINFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…Hedging inflation with individual US stocks: A long-run portfolio analysis (2016)Hedging inflation with indivi…What do scientists know about inflation hedging? (2015)What do scientists know about…Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession (2015)Stocks, bonds, T-bills and in…Are gold and silver a hedge against inflation? A two century perspective (2015)Are gold and silver a hedge a…Monetary policy and stock prices – Cross-country evidence from cointegrated VAR models (2014)Monetary policy and stock pri…ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia (2012)ARDL bounds tests and robust …Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme (2011)Makroekonomik Faktörlerin His…The Long-Horizon Benefits of Traditional and New Real Assets in the Institutional Portfolio (2010)The Long-Horizon Benefits of …The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market (2010)The Effect of Macroeconomic V…Can common stocks provide a hedge against inflation? Evidence from African countries (2010)Can common stocks provide a h…Inflation Hedging for Long-Term Investors (2009)Inflation Hedging for Long-Te…Dynamic Interactions among the Stock Market, Federal Funds Rate, Inflation, and Economic Activity (2006)Dynamic Interactions among th…ARE COMMON STOCKS A HEDGE AGAINST INFLATION? (2006)ARE COMMON STOCKS A HEDGE AGA…Are stocks a good hedge against inflation? evidence from emerging markets (2004)Are stocks a good hedge again…Portfolio regulation of life insurance companies and pension funds (2000)Portfolio regulation of life …A multi-country test of the Fisher model for stock returns (1997)A multi-country test of the F…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dividend Policy, Growth, and the Valuation of Shares (1961)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Dividend Policy under Asymmetric Information (1985)In Search of New Foundations (2000)Dividends, Share Repurchases, and the Substitution Hypothesis (2002)A Catering Theory of Dividends (2004)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Time Series Regression with a Unit Root (1987)Long memory processes and fractional integration in econometrics (1996)Energy consumption, income, and carbon emissions in the United States (2006)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)CO2 emissions, energy consumption, and output in France (2007)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 1985Dividends, Dilution, and Taxes: A Signalling Equilibrium1,425 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation

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551 cited
  • 1987Stock returns and inflation426 cited
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    • 2015Are gold and silver a hedge against inflation? A two century perspective182 cited
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    • 2006ARE COMMON STOCKS A HEDGE AGAINST INFLATION?72 cited
    • 2009Inflation Hedging for Long-Term Investors72 cited
    • 2010Can common stocks provide a hedge against inflation? Evidence from African countries71 cited
    • 2004Are stocks a good hedge against inflation? evidence from emerging markets70 cited
    • 2000Portfolio regulation of life insurance companies and pension funds68 cited
    • 2006Dynamic Interactions among the Stock Market, Federal Funds Rate, Inflation, and Economic Activity55 cited
    • 1997A multi-country test of the Fisher model for stock returns52 cited
    • 2014Monetary policy and stock prices – Cross-country evidence from cointegrated VAR models43 cited
    • 2012ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia42 cited
    • 2015Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession41 cited
    • 2016Hedging inflation with individual US stocks: A long-run portfolio analysis37 cited
    • 2010The Long-Horizon Benefits of Traditional and New Real Assets in the Institutional Portfolio34 cited
    • 2011Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme33 cited