G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4903
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
URLhttps://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.
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