Work

Inflation and Individual Equities

Year: 2012

Type: article

Abstract: Since 1990, stocks with strong inflation-hedging abilities have had higher average returns than stocks with low inflation betas and have tended to be drawn from the technology and oil/gas sectors. The authors found substantial time variation among stock inflation betas, which makes it difficult to construct portfolios from stocks that are strong out-of-sample inflation hedges. This finding holds for sector portfolios, portfolios constructed on past-inflation betas, and portfolios constructed from high-dividend-paying stocks.

Source: Financial Analysts Journal

DOI: 10.2469/faj.v68.n4.3

Authors: Andrew Ang, Marie Brière, Ombretta Signori

Institutions: Columbia University, Université Libre de Bruxelles, Université Paris Dauphine-PSL, AXA (France)

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2145896105

FWCI: 4.783

Cites: 52

Cited by: 56

Related to: 10