主题：Inflation expectations, U.S.equity market volatilities, and global stock returns: Evidence from G7 and EM7 markets

主讲：Thomas C. Chiang Professor Emeritus of Finance, Drexel University

主持：陆前进 教授 复旦大学国际金融系

时间：2024年3月27日下午13:30-15:00

地点：复旦大学第五教学楼5104

主办：复旦大学货币金融研究中心/复旦大学国际金融系

Abstract: This paper tests the response of stock returns to expected inflation and conditional covariance between state variables and equity market volatility (EMV) using data for G7 and E7 markets. Evidence reveals a negative relationship between stock returns and expected inflation for each of country, except for Brazil and Russia markets where a positive relationship exists. Evidence finds an inverse relationship between stock returns and risk measured by categorical EMV. The model is robust whether nominal or real stock returns or different measures of state variables covarying with EMV are used. Covariance between industrial output growth and EMV produces a positive impact on stocks.