Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/445
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 Hedging 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. |
URI: | https://doi.org/10.1016/j.najef.2016.05.007 https://ruomo.lib.uom.gr/handle/7000/445 |
ISSN: | 1062-9408 |
Other Identifiers: | 10.1016/j.najef.2016.05.007 |
Appears in Collections: | Department of Economics |
Files in This Item:
File | Description | Size | Format | |
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Hedging inflation with individual US stocks NAJEF 2016.pdf | 302,34 kB | Adobe PDF | View/Open |
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