Inflation and Individual Equities

Andrew Ang, Marie Brière and Ombretta Signori
Additional contact information
Marie Brière: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Ombretta Signori: AXA France - AXA

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Abstract: We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than stocks with low inflation betas and tend to be drawn from the Oil and Gas and Technology sectors. However, we show that the time variation of stock inflation betas is substantial. This makes it difficult to construct portfolios of stocks that are good inflation hedges out of sample. This is true for portfolios constructed on past inflation betas, sector portfolios, and portfolios constructed from high-paying dividend stocks.

Keywords: Portfolios; inflation hedging; stock market (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-01494500v1
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Citations: View citations in EconPapers (14)

Published in Financial Analysts Journal, 2012, 68 (4), ⟨10.2469/faj.v68.n4.3⟩

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Working Paper: Inflation and Individual Equities (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01494500

DOI: 10.2469/faj.v68.n4.3

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