Inflation and Individual Equities

30 Pages Posted: 7 Feb 2012

See all articles by Andrew Ang

Andrew Ang

BlackRock, Inc

Marie Briere

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

Ombretta Signori

AXA Investment Managers

Multiple version iconThere are 3 versions of this paper

Date Written: February 2012

Abstract

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 there is substantial time variation of stock inflation betas. 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.

Suggested Citation

Ang, Andrew and Briere, Marie and Signori, Ombretta, Inflation and Individual Equities (February 2012). NBER Working Paper No. w17798. Available at SSRN: https://ssrn.com/abstract=2000558

Andrew Ang (Contact Author)

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

Marie Briere

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

Paris Dauphine University ( email )

Université Libre de Bruxelles ( email )

Brussels
Belgium

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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