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Do stock returns provide a good hedge against inflation? An empirical assessment using Turkish data during periods of structural change

Halit Aktürk

International Review of Economics & Finance, 2016, vol. 45, issue C, 230-246

Abstract: This paper provides empirical evidence on the relation between stock returns and inflationary expectations using a panel of firm level data covering a broad range of industries and Turkish common stock market index from 1986 to 2013. I use survey of inflationary expectations to examine Fisher hypothesis where I show, no matter the data is aggregate or disaggregate; ex-ante inflationary expectations and stock returns are positively related, whereas ex-post inflationary realizations are negatively related. I find that holding stocks of manufacturing industry firms provide for about 15% better hedge in comparison to that of service industry firms.

Keywords: Fisher effect; Stock returns; Hedging; Inflation (search for similar items in EconPapers)
JEL-codes: E31 E43 G15 (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:eee:reveco:v:45:y:2016:i:c:p:230-246