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Title: Hedging inflation with individual US stocks: A long-run portfolio analysis
Authors: Bampinas, Georgios
Panagiotidis, Theodore
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Economics
Keywords: Stock prices
Good prices
Generalized Fisher effect
Quantile regression
Issue Date: Jul-2016
Source: The North American Journal of Economics and Finance
Volume: 37
First Page: 374
Last Page: 392
Abstract: This paper examines whether individual stocks can act as inflation hedgers. We focus on longer investment horizons and construct in- and out-of-sample portfolios based on the long-run relationship (cointegration) of stock prices with respect to consumer prices. Empirical evidence suggests that investors are better off by holding a portfolio of stocks with higher long-run betas as part of asset selection and allocation strategy. Stocks that outperform inflation tend to be drawn from the Energy and Industrial sectors. Finally, we observe that the companies average inflation hedging ability declined steadily over the past ten years, while the number of firms that hedge inflation has decreased considerably after the recent downturn of the US economy.
ISSN: 1062-9408
Other Identifiers: 10.1016/j.najef.2016.05.007
Appears in Collections:Department of Economics

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