English, Article edition: Inflation and bond-stock characteristics of international security returns Moon K. Kim; Ravi Shukla

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Bookmark: http://trove.nla.gov.au/version/8977
Physical Description
  • article
Language
  • English

Edition details

Title
  • Inflation and bond-stock characteristics of international security returns
Author
  • Moon K. Kim
  • Ravi Shukla
Physical Description
  • article
Notes
  • Purpose – The purpose of this research is to explain the cross-sectional variation in the relation between international security returns and expected inflation based on their sensitivities to world stock and bond factors. Design/​methodology/​approach – The paper shows regress inflation sensitivities of returns on country indexes and international mutual funds on their sensitivities to world stock and bond indexes. Findings – This paper shows the inflation sensitivity of a security is positively (negatively) related to its sensitivity to the world bond index (world stock index). Research limitations/​implications – The paper shows that while the model is applicable to individual securities as well as portfolios, it is tested using portfolios only. Originality/​value – The paper shows the results allow one to assess the inflation sensitivity of a security using its sensitivity to the bond and the stock market. The more bond-like a security is, the higher its sensitivity to inflation.
  • Inflation, Interest rates, Stock markets
  • RePEc:eme:ijmfpp:v:2:y:2006:i:3:p:241-251
Language
  • English
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