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Rates of Return on Art Objects, the Fisher Hypothesis, and Inflationary Expectations
Author(s) -
Matsumoto Keishiro,
Andoh Samuel K.,
Hoban James P.
Publication year - 1994
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1994.tb00407.x
Subject(s) - time weighted return , inflation (cosmology) , rate of return , economics , holding period return , fisher hypothesis , real interest rate , econometrics , internal rate of return , rate of return on a portfolio , inhibition of return , inflation rate , investment performance , interest rate , financial economics , monetary economics , macroeconomics , return on investment , modern portfolio theory , portfolio , finance , production (economics) , visual attention , theoretical physics , biology , perception , physics , neuroscience
After surveying the evolution of the major methodologies in inflation hedging, this study presents a unique methodology that uses principal component factor analysis to separate the effects of variability in the real rate of return from the nominal rate of return. This approach allows the effects of both anticipated and unanticipated inflation on rates of return to be estimated more precisely. This study finds that art objects perform well in terms of average real rates of return and that the market, though not perfect, integrates anticipated inflation into the rates of return. However, unanticipated inflation is very often negatively related to the rates of return.