Capital gains, dividend yields, and expected inflation

• 成果类型: Article
• 署名作者: Pilotte, EA
• 署名单位: Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00530
• 发表日期: 2003
• 页码: 447-466
• 关键词: Time-series regression; stock returns; sample properties; COMMON-STOCKS; unit-root

摘要

One explanation for the negative relationship between short-horizon stock returns and inflation is that inflation proxies (inversely) for expected future real output. In this paper, I examine the possibility that inflation also proxies for variation in real price/dividend ratios (excess returns). I show that when the covariance between real price/dividend ratios and inflation is nonzero, the relationship between returns and expected inflation differs for the two components of returns: dividend yields and capital gains returns. My empirical evidence demonstrates that dividend yields and capital gains are related differently to expected inflation in U.S. and foreign markets.