| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4903 |
| DP4903 Foreign Direct Investment, Competitive Pressure and Spillovers. An Empirical Analysis of Spanish Firm Level Data | |
| Georges Siotis; Alessandro Sembenelli | |
| 发表日期 | 2005-02-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | We study the relationship between inflation and stock returns focusing on the signalling content of inflation. Investors use inflation to learn about the stance of the monetary policy. Depending on investors? beliefs, a change in consumption prices has different effects on the risk premium. A change in consumption prices that confirms investors' beliefs reduces stock risk premia, while a change that contradicts them increases risk premia. This may generate a negative correlation between returns and inflation that explains the Fisher puzzle. We model this intuition and test its implication on US data. We construct a market-based proxy of monetary policy uncertainty, we show that it is priced and that, by conditioning on it, the Fisher puzzle disappears. |
| 主题 | Financial Economics |
| 关键词 | Monetary policy uncertainty Asset pricing Learning risk Risk factors |
| URL | https://cepr.org/publications/dp4903 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533806 |
| 推荐引用方式 GB/T 7714 | Georges Siotis,Alessandro Sembenelli. DP4903 Foreign Direct Investment, Competitive Pressure and Spillovers. An Empirical Analysis of Spanish Firm Level Data. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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