Nominal Rigidities and Asset Pricing

95 Pages Posted: 12 Aug 2014 Last revised: 10 May 2017

See all articles by Michael Weber

Michael Weber

University of Chicago - Finance; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: March 27, 2015

Abstract

This paper examines the asset pricing implications of nominal rigidities. Firms that adjust their product prices infrequently earn a return premium of 4% per year. Merging unique product-price data at the firm level with stock returns, I document that the premium for sticky-price firms is a robust feature of the data and varies substantially over the business cycle. The premium is not driven by other firm and industry characteristics. Differential exposure to systematic risk fully explains the premium for sticky-price firms.

Keywords: Sticky Prices, Stock Returns, Monetary Policy

JEL Classification: E12, E44, E52, G12

Suggested Citation

Weber, Michael, Nominal Rigidities and Asset Pricing (March 27, 2015). Available at SSRN: https://ssrn.com/abstract=2478500 or http://dx.doi.org/10.2139/ssrn.2478500

Michael Weber (Contact Author)

University of Chicago - Finance ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
395
Abstract Views
3,888
Rank
77,379
PlumX Metrics