Munich Personal RePEc Archive

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.

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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.

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