Economics at your fingertips  

The equity premium and inflation

John Beirne () and Gabe de Bondt

Applied Financial Economics Letters, 2008, vol. 4, issue 6, 439-442

Abstract: This empirical study examines the relation between the equity premium - the difference between the expected stock and risk-free return - and inflation in the major economies in the post-Bretton Woods era. We estimate a country-average level of the equity premium between 0.8% and 2%, confirming a shrinking premium. Regressions and impulse responses show that the equity premium significantly positively adjusts to inflation. Inflation is thus essential in explaining the level of the equity premium and provides a partial resolution to the equity premium puzzle.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2019-04-17
Handle: RePEc:taf:apfelt:v:4:y:2008:i:6:p:439-442