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Time-varying inflation risk and stock returns · Study

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ArticleTime-varying inflation risk and stock returns

Martijn Boons2019

OA

Articlegreen2019

Time-varying inflation risk and stock returns

Martijn Boons · Fernando Duarte · Frans A. de Roon · Marta Szymanowska

121 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Market Dynamics and Volatility

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 2014A five-factor asset pricing model 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data 1975THE 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.]

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Year2019

Typearticle

Published2019-09-30

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations121

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2019.09.012

openalex_workW2901894729

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2022High Inflation: Low Default Risk and Low Equity Valuations 2021Macro risks and the term structure of interest rates 2023Stock return predictability and cyclical movements in valuation ratios 2020Time-varying state variable risk premia in the ICAPM