股票收益和通胀预期:来自20个主要国家的证据

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2023-01-01 DOI:10.3934/qfe.2023027
Thomas C. Chiang
{"title":"股票收益和通胀预期:来自20个主要国家的证据","authors":"Thomas C. Chiang","doi":"10.3934/qfe.2023027","DOIUrl":null,"url":null,"abstract":"<abstract> <p>We examine the relation between stock market returns and inflation expectations using data for 20 advanced countries. Evidence reveals that a negative relation presents in each of 18 countries; the exceptions are Brazil and Russia. The uncertainty hypothesis is established via evidence that U.S. inflation positively increases equity market volatility (EMV), which has a negative impact on U.S. and global stock returns. Evidence leads to the conclusion that both expected domestic inflation and EMV have adverse impacts on stock returns. The model is robust with different formations of inflation expectations and whether the test equations are examined using nominal or real stock returns.</p> </abstract>","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"115 1","pages":"0"},"PeriodicalIF":3.2000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Stock returns and inflation expectations: Evidence from 20 major countries\",\"authors\":\"Thomas C. Chiang\",\"doi\":\"10.3934/qfe.2023027\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<abstract> <p>We examine the relation between stock market returns and inflation expectations using data for 20 advanced countries. Evidence reveals that a negative relation presents in each of 18 countries; the exceptions are Brazil and Russia. The uncertainty hypothesis is established via evidence that U.S. inflation positively increases equity market volatility (EMV), which has a negative impact on U.S. and global stock returns. Evidence leads to the conclusion that both expected domestic inflation and EMV have adverse impacts on stock returns. The model is robust with different formations of inflation expectations and whether the test equations are examined using nominal or real stock returns.</p> </abstract>\",\"PeriodicalId\":45226,\"journal\":{\"name\":\"Quantitative Finance and Economics\",\"volume\":\"115 1\",\"pages\":\"0\"},\"PeriodicalIF\":3.2000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance and Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3934/qfe.2023027\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance and Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3934/qfe.2023027","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

摘要

& lt; abstract>我们使用20个发达国家的数据检验了股市收益与通胀预期之间的关系。证据显示,在18个国家中,每个国家都呈现负相关;巴西和俄罗斯是例外。不确定性假设是通过美国通货膨胀正增加股票市场波动率(EMV)的证据建立的,这对美国和全球股票回报产生了负面影响。有证据表明,预期国内通货膨胀和EMV对股票收益都有不利影响。该模型对不同形式的通胀预期具有鲁棒性,无论测试方程是使用名义回报还是实际股票回报进行检验。& lt; / abstract>
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Stock returns and inflation expectations: Evidence from 20 major countries

We examine the relation between stock market returns and inflation expectations using data for 20 advanced countries. Evidence reveals that a negative relation presents in each of 18 countries; the exceptions are Brazil and Russia. The uncertainty hypothesis is established via evidence that U.S. inflation positively increases equity market volatility (EMV), which has a negative impact on U.S. and global stock returns. Evidence leads to the conclusion that both expected domestic inflation and EMV have adverse impacts on stock returns. The model is robust with different formations of inflation expectations and whether the test equations are examined using nominal or real stock returns.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
期刊最新文献
The effects of different modes of foreign bank entry in the Turkish banking sector during the 2007–2009 Global financial crisis Cost and performance of carbon risk in socially responsible mutual funds Investing in virtue and frowning at vice? Lessons from the global economic and financial crisis Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case Autoregressive distributed lag estimation of bank financing and Nigerian manufacturing sector capacity utilization
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1