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Unexpected inflation and bank stock returns, the case of France 1977 - 1991

Author: Lajeri, Fatma ; Dermine, JeanINSEAD Area: Finance Series: Working Paper ; 96/20/FIN Publisher: Fontainebleau : INSEAD, 1996.Language: EnglishDescription: 17 p.Type of document: INSEAD Working Paper Online Access: Click here Abstract: This paper evaluates the impact of unexpected inflation on the stock returns of a sample of French banks. It offers an empirical test of theories that have predicted an impact of inflation on the stock returns banks. The paper complements a large literature that has focused exclusively on the impact of unexpected interest rates. The analysis provides empirical support to the hypothesis that, in period of volatile inflation, there exists an inflation risk factor which is independent of the well documented interest rate factor
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This paper evaluates the impact of unexpected inflation on the stock returns of a sample of French banks. It offers an empirical test of theories that have predicted an impact of inflation on the stock returns banks. The paper complements a large literature that has focused exclusively on the impact of unexpected interest rates. The analysis provides empirical support to the hypothesis that, in period of volatile inflation, there exists an inflation risk factor which is independent of the well documented interest rate factor

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