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

Akturk, Halit (2014): Do Stock Returns Provide a Good Hedge Against Inflation? An Empirical Assessment Using Turkish Data during Periods of Structural Change.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Fisher effect; stock returns; hedging; inflation
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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