Journal Article
Inflation uncertainty and excess returns on stocks and banks
Abstract: This paper investigates the relation between inflation uncertainty and excess returns on stocks and bonds. It quantifies the effect of inflation uncertainty by comparing actual excess returns with those expected by a hypothetical naive investor who treats inflation forecasts as if they were known with certainty. The evidence suggests that ignoring inflation uncertainty results in only small pricing errors, on average.
Keywords: Inflation (Finance); Stocks; Bonds;
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File(s): File format is application/pdf http://www.frbsf.org/economic-research/publications/economic-review/1995/95-2_21-29.pdf
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Bibliographic Information
Provider: Federal Reserve Bank of San Francisco
Part of Series: Economic Review
Publication Date: 1995
Pages: 21-29
Order Number: 2