Cookies

We use cookies to ensure that we give you the best experience on our website. You can change your cookie settings at any time. Otherwise, we'll assume you're OK to continue.


Durham Research Online
You are in:

Are common stocks a hedge against inflation ?

Luintel, K. and Paudyal, K. (2006) 'Are common stocks a hedge against inflation ?', Journal of financial research., 29 (1). pp. 1-19.

Abstract

We test whether U.K. common stocks hedge against inflation using a framework of the tax-augmented Fisher hypothesis. Aggregate and disaggregate (seven industry groups) monthly data covering 48 years are used. All pairs of stock and retail price indexes are cointegrated. Tests in most cases reveal significant shifts in the cointegrating vectors, and accounting for these shifts improves the precision of the estimates. The point estimates of goods price elasticity are significantly above unity in all but two cases. These findings, though in sharp contrast to most existing findings that report price elasticity of below unity, appear theoretically more plausible because nominal stock returns must exceed the inflation rate to insulate tax-paying investors.

Item Type:Article
Additional Information:
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1111/j.1475-6803.2006.00163.x
Record Created:19 Aug 2008
Last Modified:08 Apr 2009 16:28

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Usage statisticsLook up in GoogleScholar | Find in a UK Library