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- Title
Risk and Inflation.
- Authors
Chang, Eric C.; Pinegar, J. Michael
- Abstract
This paper examines the effect of risk differences on the oft-documented negative relationship between stock returns and inflation. We find risk-related patterns of coefficients on our estimates of the level and change in expected inflation and on unexpected inflation. These patterns are consistent with the hypothesis developed in Fama [2] and in Geske and Roll [7] that future real output growth simultaneously helps to determine current stock returns and various measures of inflation.
- Subjects
RATE of return on stocks; EFFECT of inflation on investments; PRICE inflation; ECONOMIC forecasting; RISK assessment; ECONOMETRIC models
- Publication
Journal of Financial & Quantitative Analysis, 1987, Vol 22, Issue 1, p89
- ISSN
0022-1090
- Publication type
Article
- DOI
10.2307/2330872