Scholarlink

<p>In this paper, we extend the benchmark asset pricing model of Bergeron (Appl Econ Lett 29(16):1498–1503, 2022) and Baigent (Appl Econ Lett 33:1–4, 2024), adding the factor of inflation. The extension model considers a standard discrete-time framework, and its central assumption supposes that the representative investor estimates, for each asset, the expected real return, as well as the expected relative return. To simplify the derivation, the extension model also considers the familiar <i>no-arbitrage</i> paradigm. Our main result indicates that the expected return of an asset is positively and linearly related to its <i>inflation beta</i> (given by the covariance between the asset’s return and the inflation factor), in addition to its <i>benchmark beta</i> (obtained from the covariance between the asset’s return and the benchmark factor). This suggests, from a theoretical point of view, that inflation and benchmark risks influence asset returns.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Inflation, benchmark return, arbitrage and asset pricing

  • 期刊论文

  • 发表日期：

    2026年6月17日

查看全文
  • Claude Bergeron

摘要

In this paper, we extend the benchmark asset pricing model of Bergeron (Appl Econ Lett 29(16):1498–1503, 2022) and Baigent (Appl Econ Lett 33:1–4, 2024), adding the factor of inflation. The extension model considers a standard discrete-time framework, and its central assumption supposes that the representative investor estimates, for each asset, the expected real return, as well as the expected relative return. To simplify the derivation, the extension model also considers the familiar no-arbitrage paradigm. Our main result indicates that the expected return of an asset is positively and linearly related to its inflation beta (given by the covariance between the asset’s return and the inflation factor), in addition to its benchmark beta (obtained from the covariance between the asset’s return and the benchmark factor). This suggests, from a theoretical point of view, that inflation and benchmark risks influence asset returns.