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2008-05-27Buch DOI: 10.18452/4128
Expected Inflation, Expected Stock Returns, and Money Illusion
dc.contributor.authorSchmeling, Maik
dc.contributor.authorSchrimpf, Andreas
dc.date.accessioned2017-06-15T23:42:48Z
dc.date.available2017-06-15T23:42:48Z
dc.date.created2008-05-28
dc.date.issued2008-05-27
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4780
dc.description.abstractWe 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. By 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 the data.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectInflation expectationseng
dc.subjectMoney Illusioneng
dc.subjectProxy hypothesiseng
dc.subjectStock returnseng
dc.subject.ddc330 Wirtschaft
dc.titleExpected Inflation, Expected Stock Returns, and Money Illusion
dc.typebook
dc.subtitleWhat can we learn from Survey Expectations?
dc.identifier.urnurn:nbn:de:kobv:11-10088622
dc.identifier.doihttp://dx.doi.org/10.18452/4128
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages41
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue36
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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