Time-varying inflation risk and stock returns

• 成果类型: Article
• 署名作者: Boons, Martijn; Duarte, Fernando; de Roon, Frans; Szymanowska, Marta
• 署名单位: Universidade Nova de Lisboa; Federal Reserve System - USA; Federal Reserve Bank - New York; Tilburg University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.09.012
• 发表日期: 2020
• 页码: 444-470
• 关键词: inflation; Time-varying inflation risk premium; Inflation hedging; Individual stock returns; Cross-sectional asset-pricing; Nominal-real covariance

摘要

We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a consumption-based asset pricing model, we argue that inflation risk is priced because inflation predicts real consumption growth. The historical changes in this predictability and in stocks' inflation betas can account for the size, variability, predictability, and sign reversals in inflation risk premia. (C) 2019 Elsevier B.V. All rights reserved.