Stocks, Bonds, T-Bills and Inflation Hedging
Document Type
Article
Source of Publication
SSRN Electronic Journal
Publication Date
1-1-2011
Abstract
We analyze the inflation-hedging properties of US stocks, bonds, and T-bills at the subindex level during the 1983 "“ 2012 period, for investment horizons between 1 month and 10 years. Bonds other than T-bills turn out poor inflation hedges during the entire sample period, regardless of the investment horizon. Stocks in both cyclical and non-cyclical industries have virtually no hedging ability until the fall of Lehman Brothers in September 2008. From that moment on, equity subindices particularly in the cyclical industries started to develop statistically significant hedging ability, even in the short run. Hence, the extent to which investors can benefit from the hedging ability of stocks and bonds varies over time and across industries, maturities and investment horizons.
DOI Link
ISSN
Publisher
Elsevier BV
Volume
79
Last Page
37
Disciplines
Business | Physical Sciences and Mathematics
Recommended Citation
Spierdijk, Laura and Umar, Zaghum, "Stocks, Bonds, T-Bills and Inflation Hedging" (2011). All Works. 3211.
https://zuscholars.zu.ac.ae/works/3211
Indexed in Scopus
no
Open Access
no