Stock Market Sensitivity to Interest Rates and Inflation

39 Pages Posted: 26 May 2003

Abstract

Knowledge of the interest rate sensitivity of stocks is important in many areas of investment and finance. This paper makes three contributions to the existing literature: (a) it provides estimates of stock sensitivity to changes in nominal and real interest rates and expected inflation (b) it provides estimates of the degree of indexation of future growth expectations to changes in nominal and real interest rates and expected inflation and (c) examines whether government regulation, cyclicality of future cash flows and growth versus value characteristics of stocks can explain the differences in interest rate sensitivities across stocks.

Keywords: stocks market sensitivity to interest rates and inflation, equity duration, determinants of interest rate sensitivity

JEL Classification: C10, G3, G12, G10

Suggested Citation

Tessaromatis, Nikolaos, Stock Market Sensitivity to Interest Rates and Inflation. EFMA 2003 Helsinki Meetings. Available at SSRN: https://ssrn.com/abstract=392589 or http://dx.doi.org/10.2139/ssrn.392589

Nikolaos Tessaromatis (Contact Author)

EDHEC Business School ( email )

58 rue du Port
Lille, 59046
France

Register to save articles to
your library

Register

Paper statistics

Downloads
2,356
rank
5,334
Abstract Views
7,573
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information