Journal of Financial and Quantitative Analysis Vol. 22 No. 1 1987
Risk and Inflation
Abstract
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.
- DOI
- 10.2307/2330872
- Volume
- 22
- Issue
- 1
- Pages
- 89
- Sources
- crossref openalex