Applying Financial Information in Inflation Hedge Portfolio Sele- ction

• Main Authors: Whua Lee, 李華
• Other Authors: Taychang Wang；David M. Chen
• Format: Others
• Language: zh-TW
• Published: 1993
• Online Access: http://ndltd.ncl.edu.tw/handle/19585626277290972530

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．