| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17798 |
| 来源ID | Working Paper 17798 |
| Inflation and Individual Equities | |
| Andrew Ang; Marie Brière; Ombretta Signori | |
| 发表日期 | 2012-02-02 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than stocks with low inflation betas and tend to be drawn from the Oil and Gas and Technology sectors. However, we show that there is substantial time variation of stock inflation betas. This makes it difficult to construct portfolios of stocks that are good inflation hedges out of sample. This is true for portfolios constructed on past inflation betas, sector portfolios, and portfolios constructed from high-paying dividend stocks. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17798 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575473 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Marie Brière,Ombretta Signori. Inflation and Individual Equities. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17798.pdf（238KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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