Applying Financial Information in Inflation Hedge Portfolio Sele- ction
碩士 === 國立臺灣大學 === 會計學研究所 === 81 === This paper examines the effects of unexpected inflation on the re -turns to the common stock of companies with different short- term monetary positions ，long-term monetary positions，amount of no- minal ta...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1993
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| Online Access: | http://ndltd.ncl.edu.tw/handle/19585626277290972530 |
| Summary: | 碩士 === 國立臺灣大學 === 會計學研究所 === 81 === This paper examines the effects of unexpected inflation on the
re -turns to the common stock of companies with different short-
term monetary positions ，long-term monetary positions，amount
of no- minal tax shields，and cash flows from operations；the
so called’Nominal Contracting Hypothesis’．The paper also
examines the use of alternative information sets in the
construction of inf- lation hedge portfolios．We use three
methods to estimate expe- cted inflation．Evidence presented
here indicates that over the 1982-1991 the relationship between
stock returns and unexpected inflation differs systematically
across industries．However the- ere is no strong support for
the nominal contracting hypothesis． We conclude that wealth
effects caused by unexpected inflation are not an important
factor in explaining the behavior of stock prices．The
empirical results also indicate that，if securities market
informtion is used，it is possible to construct effective
inflation-hedging portfolios successively．
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