Abstract:
Most of the researches find that actual inflation is negative with stock returns, but few of them provide the empirical evidence on why the relationship is negative. We think the main reason is that most of them lack of understanding the channel between inflation and stock returns. In this paper, we find that enterprises will increase the debt financing when the inflation rate rises based on the inflation index in our country, and then risk of enterprises increase. Furthermore, we find the main channels between inflation and stock returns negative correlation is debt financing. The above phenomenon is more obvious in those enterprises that ownership is state-owned and financing constraints is weaker. In this paper, we provide the interpretation that inflation and stock returns is negative relationship on the micro level.
饶品贵, 罗勇根. 通货膨胀如何影响股票回报——基于债务融资的视角[J]. 金融研究, 2016, 433(7): 160-175.
RAO Pingui, LUO Yonggen. How Inflation Affects Stock Returns——Based on the Perspective of Debt Financing. Journal of Financial Research, 2016, 433(7): 160-175.
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