Essays on inflation, stock market and borrowing constraints / by Hüseyin Günay.

Thu, 11 Mar 2021 18:48:07 +0900

by Hüseyin Günay.. Essays on inflation, stock market and borrowing constraints. UMI, 2010; [2010]
In this dissertation, firstly I model the relation between the stock market and inflation, and provide empirical evidence of my theory in the US equity market. The second chapter has international evidence of effects of inflation on the equity markets for the G7 countries. In the third chapter, I look at the effects of business cycle fluctuations on the equity market and explain them through the credit channel via borrowing constraints on different sectors in a developing country.; Both recent and previous research mentioned the relationship among inflation, stock return and dividend yield (or price to earnings ratio). These papers empirically show that there is a positive correlation between dividend yield and inflation, and a negative link between expected inflation and stock returns. Nevertheless, these properties had not been used for modelling asset prices up to now.^; I model the relation between inflation and stock prices from a standard asset pricing model stand point by introducing nominal prices for a share of stock. Furthermore, by introducing heterogeneity among agents in terms of inflation expectations, the model investigates the implications of having differences among the agents on the stocks. Using the model provided, it is shown that heterogeneity in inflation expectations can cause undervaluation or overvaluation in the stock market resulting in predicted returns to be positive or negative, respectively. These predictions are corroborated by the results of the empirical study on the United States equity market. Results do not only show that stock returns are on average negatively affected by expected inflation on average but also that the effect is reversed during high inflationary periods, in accordance with the predictions of the model.^; The second chapter of this dissertation presents a similar panel regression study on a group of developed countries; Canada, France, Germany, Italy, Japan, the United Kingdom and the United States, the so called G7

On the Predictability of Japanese Stock Returns using Dividend Yield / 青野, 幸平ほか

Sat, 27 Jun 2026 12:16:12 +0900

青野, 幸平; 祝迫, 得夫. On the Predictability of Japanese Stock Returns using Dividend Yield. Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University, 2009-08-18

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Essays on inflation, stock market and borrowing constraints / by Hüseyin Günay.

On the Predictability of Japanese Stock Returns using Dividend Yield / 青野, 幸平ほか