Arbeitspapier
Expected inflation, expected stock returns, and money illusion: what can we learn from survey expectations?
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability by virtue of a comprehensive set of expectations data, we find that money illusion seems to be the driving force behind our results. Another popular hypothesis - inflation as a proxy for aggregate risk aversion - is not supported by the data.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2008,036
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Markets and the Macroeconomy
- Thema
-
Inflation expectations
money illusion
proxy hypothesis
stock returns
Kapitalertrag
Börsenkurs
Prognoseverfahren
Inflationserwartung
Befragung
Finanzanalysten
Geldillusion
Schätzung
Theorie
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schmeling, Maik
Schrimpf, Andreas
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schmeling, Maik
- Schrimpf, Andreas
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2008
Ähnliche Objekte (12)
Expected Inflation, Expected Stock Returns, and Money Illusion
Macro expectations, aggregate uncertainty, and expected term premia
Macro expectations, aggregate uncertainty, and expected term premia
Expected discrepancies
Expected Values
Expected Value
Inferring Expected Runtimes of Probabilistic Integer Programs Using Expected Sizes
On Expected Present Value Vs. Expected Future Value: Further Remarks
Inferring Expected Runtimes of Probabilistic Integer Programs Using Expected Sizes
Hoyerswerda, different than expected
Approximate Expected Utility Rationalization
Backtesting the Expected Shortfall
Expected Inflation, Expected Stock Returns, and Money Illusion
Macro expectations, aggregate uncertainty, and expected term premia
Macro expectations, aggregate uncertainty, and expected term premia
Expected discrepancies
Expected Values
Expected Value
Inferring Expected Runtimes of Probabilistic Integer Programs Using Expected Sizes
On Expected Present Value Vs. Expected Future Value: Further Remarks
Inferring Expected Runtimes of Probabilistic Integer Programs Using Expected Sizes
Hoyerswerda, different than expected
Approximate Expected Utility Rationalization
Backtesting the Expected Shortfall
Expected Inflation, Expected Stock Returns, and Money Illusion
Macro expectations, aggregate uncertainty, and expected term premia
Macro expectations, aggregate uncertainty, and expected term premia
Expected discrepancies
Expected Values
Expected Value
Inferring Expected Runtimes of Probabilistic Integer Programs Using Expected Sizes
On Expected Present Value Vs. Expected Future Value: Further Remarks
Inferring Expected Runtimes of Probabilistic Integer Programs Using Expected Sizes
Hoyerswerda, different than expected
Approximate Expected Utility Rationalization