Earticle

초록

영어

We examine whether the observed negative relations between stock returns and inflation and between housing returns and inflation can be explained by the inflation illusion hypothesis. We identify the mispricing component in asset prices (i.e., stock prices and housing prices) based on present value models, linear and loglinear models, and we then investigate whether inflation can explain the mispricing component using the data from three countries (the U.S., the U.K., and Korea). When we take into account the potential asymmetric effect of positive and negative inflation on the mispricing components in asset prices, which is an important implication of the inflation illusion hypothesis, none of the asset returns is compatible with the inflation illusion hypothesis in that both positive and negative inflation rates do not have a negative effect on the housing mispricing components. Instead, we find that behavioral factors such as consumer sentiments contribute to the mispricing of asset prices.

목차

Abstract
 1. Introduction
 2. Empirical identification of the mispricing component in asset prices
  2.1 Identification of the mispricing component in a linear model
  2.2 Identification of the mispricing component in a loglinear model
  2.3 Test for the inflation illusion
 3. Empirical results
  3.1 Data and preliminary findings
  3.2 The U.S.
  3.3 The U.K.
  3.4 Korea
 4. Further analysis with consumer sentiments
 5. Concluding remarks
 References
 Table

키워드

저자

• Gwangheon Hong [ College of Business, Sogang University ]
• Bong-Soo Lee [ Department of Finance, College of Business Florida State University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330