Evidence On The Existence Of Common Stock Inflation Hedges
dc.contributor.author | Bernard, Victor L | en_US |
dc.contributor.author | Frecka, Thomas J. | en_US |
dc.date.accessioned | 2014-09-03T16:51:15Z | |
dc.date.available | 2014-09-03T16:51:15Z | |
dc.date.issued | 1983-12 | en_US |
dc.identifier.citation | Bernard, Victor L; Frecka, Thomas J. (1983). "Evidence On The Existence Of Common Stock Inflation Hedges." Journal of Financial Research 6(4): 301-312. <http://hdl.handle.net/2027.42/108256> | en_US |
dc.identifier.issn | 0270-2592 | en_US |
dc.identifier.issn | 1475-6803 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/108256 | |
dc.description.abstract | Previous researchers have been unable to identify (on an ex ante basis) inflation hedge portfolios consisting of common stocks. This study demonstrates a procedure for forming common stock portfolios that offer returns that vary positively with unexpected inflation. The strategy could have been used to hedge against purchasing power risk during the 1974–1979 period. In addition to its practical value, the research has important implications for capital asset pricing theory since the existence of hedge portfolios is a necessary condition for the superiority of the multi‐period CAPM over the single‐period models. | en_US |
dc.publisher | Graduate School of Business, University of Michigan | en_US |
dc.publisher | Wiley Periodicals, Inc. | en_US |
dc.title | Evidence On The Existence Of Common Stock Inflation Hedges | en_US |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | en_US |
dc.subject.hlbsecondlevel | Finance | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/108256/1/jfir00340.pdf | |
dc.identifier.doi | 10.1111/j.1475-6803.1983.tb00340.x | en_US |
dc.identifier.source | Journal of Financial Research | en_US |
dc.identifier.citedreference | Bodie, Z. ( 1976 ) “Common Stocks as Hedges Against Inflation.” Journal of Finance, (May), pp. 459 – 470. | en_US |
dc.identifier.citedreference | Bodie, Z. ( 1980 ) “An Innovation for Stable Real Retirement Income.” Journal of Portfolio Management, (Fall), pp. 5 – 13. | en_US |
dc.identifier.citedreference | Boonekamp, C. F. ( 1978 ) “Inflation, Hedging, and the Demand for Money.” American Economic Review, (December), pp. 821 – 833. | en_US |
dc.identifier.citedreference | Fama, E. ( 1975 ) “Short‐Term Interest Rates as Predictors of Inflation.” American Economic Review, (June), pp. 269 – 282. | en_US |
dc.identifier.citedreference | Fama, E. ( 1976 ) Foundations of Finance, New York: Basic Books, Inc. | en_US |
dc.identifier.citedreference | Fama, E. and Schwert, W. ( 1977 ) “Asset Returns and Inflation.” Journal of Financial Economics, (November), pp. 115 – 146. | en_US |
dc.identifier.citedreference | Figlewski, S. and Kon, S. J. ( 1982 ) “Portfolio Management with Stock Index Futures.” Financial Analysts Journal, (January‐February), pp. 52 – 60. | en_US |
dc.identifier.citedreference | Gouldey, B. K. ( 1980 ) “Evidence of Nonmarket Risk Premiums in Common Stock Returns.” The Journal of Financial Research, (Fall), pp. 243 – 260. | en_US |
dc.identifier.citedreference | Jaffe, J. and Mandelker, H. ( 1976 ) “The ‘Fisher Effect’ for Risky Assets: An Empirical Investigation.” Journal of Finance, (May), pp. 447 – 458. | en_US |
dc.identifier.citedreference | Long, J. ( 1974 ) “Stock Prices, Inflation, and the Term Structure of Interest Rates.” Journal of Financial Economics, Volume I, pp. 131 – 170. | en_US |
dc.identifier.citedreference | Manaster, S. ( 1979 ) “Real and Nominal Efficient Sets.” Journal of Finance, (March), pp. 93 – 102. | en_US |
dc.identifier.citedreference | Nelson, C. R. ( 1973 ) Applied Time Series Analysis, San Francisco, Calif.: Holden‐Day, Inc. | en_US |
dc.identifier.citedreference | Nelson, C. R. ( 1976 ) “Inflation and Rates of Return on Stocks.” Journal of Finance, (May), pp. 471 – 483. | en_US |
dc.identifier.citedreference | Schipper, K. and Thompson, R. ( 1981 ) “Common Stocks as Hedges Against Shifts in the Consumption or Investment Opportunity Set.” Journal of Business, (April), pp. 305 – 328. | en_US |
dc.identifier.citedreference | Sercu, P. ( 1981 ) “A Note on Real and Nominal Efficient Sets.” Journal of Finance, (June), pp. 721 – 737. | en_US |
dc.identifier.citedreference | Sharpe, W. ( 1964 ) “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.” Journal of Finance, (September), pp. 425 – 442. | en_US |
dc.identifier.citedreference | Ang, J. S., Chua, J. H., and Desai, A. S. ( 1979 ) “Evidence that the Common Stock Market Adjusts Fully for Expected Inflation.” Journal of Financial Research, (Fall), pp. 97 – 109. | en_US |
dc.identifier.citedreference | Bernard, V. L. ( 1982 ) “Unanticipated Inflation, Real Assets, and the Value of the Firm.” Faculty working paper, Graduate School of Business, University of Michigan. | en_US |
dc.identifier.citedreference | Bernard, V. L. ( 1983 ) “The Use of Market Data and Accounting Data in Hedging Against Consumer Price Inflation.” Faculty working paper, Graduate School of Business, University of Michigan. | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
Files in this item
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.