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.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2008,036
- Classification
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Markets and the Macroeconomy
- Subject
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Inflation expectations
money illusion
proxy hypothesis
stock returns
Kapitalertrag
Börsenkurs
Prognoseverfahren
Inflationserwartung
Befragung
Finanzanalysten
Geldillusion
Schätzung
Theorie
Deutschland
- Event
-
Geistige Schöpfung
- (who)
-
Schmeling, Maik
Schrimpf, Andreas
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schmeling, Maik
- Schrimpf, Andreas
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2008
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