IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v5y1982i2p105-123.html
   My bibliography  Save this article

Inflation, Security Values, And Risk Premia

Author

Listed:
  • Wilbur G. Lewellen
  • James S. Ang

Abstract

No abstract is available for this item.

Suggested Citation

  • Wilbur G. Lewellen & James S. Ang, 1982. "Inflation, Security Values, And Risk Premia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(2), pages 105-123, June.
    • Handle: RePEc:bla:jfnres:v:5:y:1982:i:2:p:105-123
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1982.tb00053.x
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hagerman, Robert L. & Kim, E. Han, 1976. "Capital Asset Pricing with Price Level Changes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(3), pages 381-391, September.
    2. Siegel, Jeremy J & Warner, Jerold B, 1977. "Indexation, the Risk-Free Asset, and Capital Market Equilibrium," Journal of Finance, American Finance Association, vol. 32(4), pages 1101-1107, September.
    3. Fama, Eugene F & Schwert, G William, 1979. "Inflation, Interest, and Relative Prices," The Journal of Business, University of Chicago Press, vol. 52(2), pages 183-209, April.
    4. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    5. K. J. Arrow, 1964. "The Role of Securities in the Optimal Allocation of Risk-bearing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 31(2), pages 91-96.
    6. Schall, Lawrence D, 1972. "Asset Valuation, Firm Investment, and Firm Diversification," The Journal of Business, University of Chicago Press, vol. 45(1), pages 11-28, January.
    7. Manaster, Steven, 1979. "Real and Nominal Efficient Sets," Journal of Finance, American Finance Association, vol. 34(1), pages 93-102, March.
    8. Fama, Eugene F. & Schwert, G. William, 1977. "Human capital and capital market equilibrium," Journal of Financial Economics, Elsevier, vol. 4(1), pages 95-125, January.
    9. Benjamin M. Friedman, 1978. "Who Puts the Inflation Premium Into Nominal Interests Rates?," NBER Working Papers 0231, National Bureau of Economic Research, Inc.
    10. Chen, Andrew H & Boness, A J, 1975. "Effects of Uncertain Inflation on the Investment and Financing Decisions of a Firm," Journal of Finance, American Finance Association, vol. 30(2), pages 469-483, May.
    11. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
    12. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    13. Friedman, Benjamin M, 1978. "Who Puts the Inflation Premium into Nominal Interest Rates?," Journal of Finance, American Finance Association, vol. 33(3), pages 833-845, June.
    14. Jaffe, Jeffrey F & Mandelker, Gershon, 1976. "The "Fisher Effect" for Risky Assets: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 31(2), pages 447-458, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. J.A. Schnabel, 1980. "A Note On Inflation, The Capital Asset Pricing Model, And Beta Estimation With Nominal Data," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 261-267, September.
    2. Anders Johansson, 2009. "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
    3. Thomas A. Lawler, 1978. "Uncertain inflation, systematic risk, and the capital asset pricing model," Working Paper 78-02, Federal Reserve Bank of Richmond.
    4. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
    5. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    6. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
    7. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
    8. Jagannathan, Ravi & Wang, Zhenyu, 1996. "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    9. Zvi Bodie, 1979. "Inflation Risk and Capital Market Equilibrium," NBER Working Papers 0373, National Bureau of Economic Research, Inc.
    10. Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.
    11. Merton, Robert C., 1993. "On the microeconomic theory of investment under uncertainty," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669, Elsevier.
    12. Badr E. Ismail & Moon K. Kim & Florence R. Kirk, 1994. "Accounting data and the prediction of risk in the extremes," Review of Financial Economics, John Wiley & Sons, vol. 4(1), pages 55-68, September.
    13. G. P. Diacogiannis, 1999. "A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 225-235.
    14. Moinak Maiti & Darko Vuković, 2020. "Role of human assets in measuring firm performance and its implication for firm valuation," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-27, December.
    15. Cantillo, Miguel, 2017. "A Reconsideration of the Equity Premium Puzzle," MPRA Paper 79357, University Library of Munich, Germany.
    16. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
    17. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    18. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School.
    19. Ayesha Afzal & Nawazish Mirza, 2011. "Size and Value Premium in International Portfolios: Evidence from 15 European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 173-190, June.
    20. Claude Bergeron, 2024. "Inflation, risk, and dividend growth," SN Business & Economics, Springer, vol. 4(7), pages 1-21, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:5:y:1982:i:2:p:105-123. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.