To make high-quality research more accessible and easier to explore.

Fields:

Risk and Inflation

Journal of Financial and Quantitative Analysis 1987 22(1), 89
This paper examines the effect of risk differences on the oft-documented negative rela? tionship 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.