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INFLATION, SECURITY VALUES, AND RISK PREMIA
Author(s) -
Lewellen Wilbur G.,
Ang James S.
Publication year - 1982
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1982.tb00053.x
Subject(s) - economics , monetary economics , inflation (cosmology) , debt , equity (law) , portfolio , econometrics , risk premium , interest rate , financial economics , fisher hypothesis , real interest rate , macroeconomics , physics , theoretical physics , political science , law
The impact of stochastic inflation on the cross‐sectional structure of nominal securities yields is examined. The analysis indicates that equilibrium required returns on debt and equity securities are affected differently by inflation and that the “Fisher Effect” is more likely to hold for equity returns than for debt yields. Implications for empirical investigations of portfolio performance and the real interest rate are explored.