Inflation and Individual Equities

Andrew Ang, Marie Brière () and Ombretta Signori ()

No 17798, NBER Working Papers from National Bureau of Economic Research, Inc

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 there is substantial time variation of stock inflation betas. 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.

JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2012-02
Note: AP
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Citations: View citations in EconPapers (16)

Published as “Inflation and Individual Equities,” with Marie Brière and Ombretta Signori, 2012, Financial Analysts Journal, 68, 4, 36-55. Funded by Netspar.

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