Capital Gains, Dividend Yields, and Expected Inflation  

Oleh:

PILOTTE, EUGENE A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 1 (Feb. 2003), page 447-466.
Topik: inflation; profits; capital; deviden
Fulltext: p 447.pdf (180.97KB)

Isi artikel

One explanation for the negative relationship between short-horizon stockr eturns and inflation is that inflation proxies (inversely) for expected future real output. In this paper, I examine the possibility that inflation also proxies for variation in real price/dividend ratios (excess returns). I show that when the covariance between real price/dividend ratios and inflation is nonzero, the relationship between returns and expected inflation differs for the two components of returns: dividend yields and capital gains returns. My empirical evidence demonstrates that dividend yields and capital gains are related differently to expected inflation in U.S. and foreign markets.

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