Journal of Empirical Finance 35 (2016) 14–24

通胀幻觉与股票收益

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

摘要：股票收益率对通货膨胀的高敏感性，显示股票的价格很大程度上受到通胀幻觉的影响。我们通过买入对通胀具有高敏感性的股票，卖出对通胀低敏感性的股票，从而构建了一个通胀幻觉因子。该因子每年有约5%的回报率，并且是在横截面资产回报层面上被定价。低资产增长的股票相对来说对通胀幻觉因子暴露更大，并且在高通胀的时候价格被低估。我们的结果在多个控制下稳健。

关键词：通胀幻觉，错误定价，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

原文链接：http://www.sciencedirect.com/science/journal/09275398/35

翻译：罗丹