Title

Stocks, Bonds, T-Bills and Inflation Hedging

Author First name, Last name, Institution

Laura Spierdijk
Zaghum Umar

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.

ISSN

1556-5068

Publisher

Elsevier BV

Volume

79

Last Page

37

Disciplines

Business | Physical Sciences and Mathematics

Indexed in Scopus

no

Open Access

no

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