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Inflation Uncertainty and Expected Returns on Treasury Bills
Abstract
At time t-1 there is uncertainty about the rate of inflation that will be observed between t-1 and t, and there is uncertainty about the expected values of future rates of inflation that will be assessed at t. The attempts to identify variation through time in expected real returns on Treasury bills as a function of the uncertainty of the inflation rate are unsuccessful. It is argued, however, that uncertainty of the inflation rate doesn't change much during the sample period (1953-71). Variation through time in uncertainty about future assessments of expected rates of inflation seems somewhat more systematic, and perhaps as a consequence relationships between this source of inflation uncertainty and expected real returns and premiums are found.
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Citations
Cited by
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Self-citationWhy Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Predictability and the cross section of expected returns: evidence from the European stock market
Drobetz, W., Haller, R., Jasperneite, C., & Otto, T. (2019) · Journal of Asset Management · doi:10.1057/s41260-019-00138-0 · Cited by 8
Metadata
- Authors
- Fama, E. F.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1976-06
- Volume
- 84
- Issue
- 3
- Pages
- 427-448
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2021237350
- Cited by
- 193
- References
- 0
- FWCI
- 18.67
- Type
- journal article
- Language
- en
- Open access
- closed
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- Fama, E. F. (1976). Inflation Uncertainty and Expected Returns on Treasury Bills. Journal of Political Economy. https://doi.org/10.1086/260453
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