Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5067178 | European Economic Review | 2011 | 18 Pages |
Abstract
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. Empirically discriminating between competing sources of this return predictability by virtue of a comprehensive set of expectations data, we find that money illusion seems to be the driving force behind our results. Another popular hypothesis - inflation as a proxy for aggregate risk aversion - is not supported by thedata.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Maik Schmeling, Andreas Schrimpf,