Do Stock Returns Provide a Good Hedge Against Inflation? An Empirical Assessment Using Turkish Data during Periods of Structural Change

Halit Aktürk

MPRA Paper from University Library of Munich, Germany

Abstract: This paper provide 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 disaggregated; 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: 2014-07
New Economics Papers: this item is included in nep-ara and nep-cwa
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Related works:
Journal Article: Do stock returns provide a good hedge against inflation? An empirical assessment using Turkish data during periods of structural change (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:64465

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