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Inflation and Individual Equities

Andrew Ang

Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Marie Briere

Amundi Asset Management; Paris Dauphine University; Université Libre de Bruxelles

Ombretta Signori

AXA Investment Managers

April 6, 2011

Netspar Discussion Paper No. 04/2011-069

We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than stocks with low inflation betas and tend to be drawn from the Oil and Gas and Technology sectors. However, we show that the time variation of stock inflation betas is substantial. This makes it difficult to construct portfolios of stocks that are good inflation hedges out of sample. This is true for portfolios constructed on past inflation betas, sector portfolios, and portfolios constructed from high-paying dividend stocks.

Number of Pages in PDF File: 26

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Date posted: August 30, 2011  

Suggested Citation

Ang, Andrew and Briere, Marie and Signori, Ombretta, Inflation and Individual Equities (April 6, 2011). Netspar Discussion Paper No. 04/2011-069. Available at SSRN: http://ssrn.com/abstract=1919498 or http://dx.doi.org/10.2139/ssrn.1919498

Contact Information

Andrew Ang (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Marie Briere
Amundi Asset Management ( email )
90 Boulevard Pasteur
Paris, 75015
Paris Dauphine University ( email )
place du Maréchal de Lattre de Tassigny
Paris, 75016
Université Libre de Bruxelles ( email )
Ombretta Signori
AXA Investment Managers ( email )
Coeur Défense Tour B - La Défense 4
100 Esplanade du Général de Gaulle
PARIS, Paris La Défense Cedex 92932
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