TY  - JOUR
AU  - Ang,Andrew
AU  - Brière,Marie
AU  - Signori,Ombretta
TI  - Inflation and Individual Equities
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 17798
PY  - 2012
Y2  - February 2012
UR  - http://www.nber.org/papers/w17798
L1  - http://www.nber.org/papers/w17798.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Marie Briere
Amundi
90 bd Pasteur, 75015 Paris, France
  
  
E-Mail: marie.briere@amundi.com

Ombretta Signori
AXA Investment Managers
Coeur Défense Tour B  - La Défense 4
100 Esplanade du Général de Gaulle 
92932 Paris La Défense Cedex
France
E-Mail: ombretta.signori@axa-im.com
AB  - We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than stocks with low inflation betas and tend to be drawn from the Oil and Gas and Technology sectors. However, we show that there is substantial time variation of stock inflation betas. This makes it difficult to construct portfolios of stocks that are good inflation hedges out of sample. This is true for portfolios constructed on past inflation betas, sector portfolios, and portfolios constructed from high-paying dividend stocks.
ER  -