HCBE Faculty Articles

Title

Equity Price Sensitivity and Expected Inflation

Document Type

Article

Date

2012

Publication Title

Journal of Investing

ISSN or ISBN

1068-0896

Volume

21

Issue

3

First Page

24

Last Page

35

Description

The authors specify a regression model for equity price sensitivity, and using this model identify several factors that determine how sensitive the equity price will be to changes in expected inflation. Results suggest that portfolio managers who believe expected inflation will increase significantly should tilt their portfolios toward low-yielding companies making significant investments in real assets and rely heavily on nominal contracts as a funding source.

DOI

10.3905/joi.2012.21.3.024

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