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Risk and Inflation

Published online by Cambridge University Press:  06 April 2009

Eric C. Chang  and
J. Michael Pinegar
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Abstract

This paper examines the effect of risk differences on the oft-documented negative relationship between stock returns and inflation. We find risk-related patterns of coefficients on our estimates of the level and change in expected inflation and on unexpected inflation. These patterns are consistent with the hypothesis developed in Fama [2] and in Geske and Roll [7] that future real output growth simultaneously helps to determine current stock returns and various measures of inflation.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 1 , March 1987 , pp. 89 - 99
Copyright
Copyright © School of Business Administration, University of Washington 1987

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References

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