English, Article edition: The equity premium and inflation John Beirne; Gabe de Bondt

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Bookmark: http://trove.nla.gov.au/version/50852
Physical Description
  • article
Language
  • English

Edition details

Title
  • The equity premium and inflation
Author
  • John Beirne
  • Gabe de Bondt
Physical Description
  • article
Notes
  • This empirical study examines the relation between the equity premium - the difference between the expected stock and risk-free return - and inflation in the major economies in the post-Bretton Woods era. We estimate a country-average level of the equity premium between 0.8% and 2%, confirming a shrinking premium. Regressions and impulse responses show that the equity premium significantly positively adjusts to inflation. Inflation is thus essential in explaining the level of the equity premium and provides a partial resolution to the equity premium puzzle.
  • RePEc:taf:apfelt:v:4:y:2008:i:6:p:439-442
Language
  • English
Contributed by
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