Inflation and Individual Equities

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Financial Analysts Journal
July/August 2012 | Vol. 68 | No. 4 | 20 pages
Source: CFA Institute
Andrew Ang Marie Brière Ombretta Signori

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Summary

Since 1990, stocks with strong inflation-hedging abilities have had higher average returns than stocks with low inflation betas and have tended to be drawn from the technology and oil/gas sectors. The authors found substantial time variation among stock inflation betas, which makes it difficult to construct portfolios from stocks that are strong out-of-sample inflation hedges. This finding holds for sector portfolios, portfolios constructed on past-inflation betas, and portfolios constructed from high-dividend-paying stocks.

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