Firm Characteristics, Unanticipated Inflation, and Stock Returns / Douglas K. Pearce, V. Vance Roley.

Format:

Book

Author/Creator:

Pearce, Douglas K.

Contributor:

National Bureau of Economic Research.

Roley, V. Vance.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2366.

NBER working paper series no. w2366

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1987.

Summary:

This paper re-examines the effects of nominal contracts on the relationship between unanticipated inflation and individual stock's rate of return. This study differs in three main ways from previous research. First, announced inflation data are used to examine the effects of unanticipated inflation. Second, a different specification is used to obtain more efficient estimates. Third, additional nominal contracts are considered. The empirical results indicate that time-varying firm characteristics related to inflation predominately determine the effect of unanticipated inflation on a stock's rate of return. A firm's debt-equity ratio appears to be particularly important in determining the response.

Notes:

Print version record

August 1987.