Abstract
We present data from six countries whose governments issued CPI-indexed bonds. We evaluate the equity risk premium where various bonds serve as the riskless asset. We find that the premium of equity relative to indexed bonds is large and the real return on bonds is low only during periods of disinflation.
| Original language | English |
|---|---|
| Pages (from-to) | 84-89 |
| Number of pages | 6 |
| Journal | Investment Management and Financial Innovations |
| Volume | 7 |
| Issue number | 1 |
| State | Published - 2010 |
Keywords
- Equity premium puzzle
- Inflation-indexed debt
- Risk-free rate puzzle
ASJC Scopus subject areas
- Business and International Management
- Accounting
- Finance
- Economics and Econometrics
- Strategy and Management