Investing long-run relationships in the stock market.

Investing long-run relationships in the stock market.

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Title

Investing long-run relationships in the stock market. (EN)

Creator

Ζαρκάδας, Ιωάννης (EL)

Zarkadas, Ioannis (EN)

Contributor

Παναγιωτίδης, Θεόδωρος (EL)

Panagiotidis, Theodoros (EN)

Type

Electronic Thesis or Dissertation (EN)

Text (EN)

Thesis
Master thesis (EN)

Issued

2016-06-23T09:40:01Z

2016 (EL)

Year

2016 (EN)

Description

Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2016. (EL)

This thesis examines the inflation hedging ability of U.S. individual stocks. We use daily U.S. CPI and stock prices from S&P 500 benchmark index for the period August 2008 to August 2015. We construct portfolios based on long-run (Q1 and Q2) and short-run (Q3 and Q4) relationships of stock prices with respect to the US consumer prices and examine their inflation hedging ability. The empirical results suggest that portfolios with stocks which have shown a significant cointegration relationship have better inflation hedging abilities. Furthermore, the four factor model of Fama and French shows that the best inflation hedgers tend to be growth stocks. Sectoral analysis of the S&P 500 index reveals that stocks which outperform inflation tend to be drawn from Industrial sector. (EN)

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Scientific field

Social Sciences
Economics and Business (EN)

Subject

Stock prices (EN)

Generalized Fisher effect (EN)

Cointegration (EN)

Portfolio (EN)

Hedging inflation (EN)

Diversification (EN)

Publisher

Πανεπιστήμιο Μακεδονίας (EL)

School / Department / Institute