publication . Article . 1994

Industry Returns and the Fisher Effect

Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F;
Restricted
  • Published: 01 Jan 1994 Journal: The Journal of Finance, volume 49, pages 1,595-1,615 (issn: 0022-1082, Copyright policy)
  • Publisher: Wiley
Abstract
The authors investigate the cross-sectional relation between industry-sorted stock returns and expected inflation, and they find that this relation is linked to cyclical movements in industry output. Stock returns of noncyclical industries tend to covary positively with expected inflation, while the reverse holds for cyclical industries. From a theoretical perspective, the authors describe a model that captures both (1) the cross-sectional variation in these relations across industries and (2) the negative and positive relation between stock returns and inflation at short and long horizons, respectively. The model is developed in an economic environment in which...
Subjects
free text keywords: Economics and Econometrics, Accounting, Finance, business.industry, business, Fisher hypothesis, Economics, Fisher model, Inflation, media_common.quotation_subject, media_common, Financial economics
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue
publication . Article . 1994

Industry Returns and the Fisher Effect

Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F;