Journal of Empirical Finance 35 (2016) 14–24

通脹幻覺與股票收益

作者：William O. Brown (University of North Carolina), Dayong Huang (University of North Carolina), Fang Wang (Central Washington University)

摘要：股票收益率對通貨膨脹的高敏感性，顯示股票的價格很大程度上受到通脹幻覺的影響。我們通過買入對通脹具有高敏感性的股票，賣出對通脹低敏感性的股票，從而構建了一個通脹幻覺因子。該因子每年有約5%的回報率，并且是在橫截面資産回報層面上被定價。低資産增長的股票相對來說對通脹幻覺因子暴露更大，并且在高通脹的時候價格被低估。我們的結果在多個控制下穩健。

關鍵詞：通脹幻覺，錯誤定價，股息率

Inflation illusion and stock returns

William O. Brown (University of North Carolina), Dayong Huang (University of North Carolina), Fang Wang (Central Washington University)

ABSTRACT

A large sensitivity of stocks' earnings yield to inflation suggests that the value of these stocks is highly influenced by inflation illusion. We construct an inflation illusion factor by buying stocks with large earnings yield sensitivities on inflation and selling stocks with small earnings yield sensitivities on inflation. This factor has a return of approximately 5% per year and is priced in the cross sectional asset returns. Low asset growth stocks have greater exposure to the inflation illusion factor than their counterparts, and they are also underpriced at times of high inflation. Our results are robust for a number of controls.

Keywords: Inflation illusion; Mispricing; Dividend yields

原文鍊接：http://www.sciencedirect.com/science/journal/09275398/35

翻譯：羅丹