Inflation uncertainty and excess returns on stocks and banks

Timothy Cogley

Economic Review, 1995, 21-29

Abstract: This paper investigates the relation between inflation uncertainty and excess returns on stocks and bonds. It quantifies the effect of inflation uncertainty by comparing actual excess returns with those expected by a hypothetical naive investor who treats inflation forecasts as if they were known with certainty. The evidence suggests that ignoring inflation uncertainty results in only small pricing errors, on average.

Keywords: Inflation (Finance); Stocks; Bonds (search for similar items in EconPapers)
Date: 1995
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