Economics at your fingertips  

New evidence for the inflation hedging potential of US stock returns

Afees Salisu (), Umar Ndako and Lateef Akanni ()

Finance Research Letters, 2020, vol. 37, issue C

Abstract: Most of the empirical studies in the literature do not seem to support the use of US stocks as a good hedge against inflation. In this study, we demonstrate that the results can be upturned if the price level data for the individual constituents of US stock returns is used rather than the index level data. This conclusion is robust to alternative methods of analyses, data frequencies and measures of inflation. In sum, estimating with the aggregate (index level) data when analysing the inflation hedging potential of US stock returns, may lead to wrong conclusions if not carefully implemented.

Keywords: Price level data; Index level data; US S&P 500 index; Homogenous slope; Heterogeneous slope (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

Page updated 2021-04-19
Handle: RePEc:eee:finlet:v:37:y:2020:i:c:s154461231930830x