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1、TheResearchFoundationofCFAInstituteLiteratureReviewEquityValuationandInflation:AReviewStephenE.Wilcox,CFAMinnesotaStateUniversity,MankatoIntheory,equityreturnsshouldbeneutraltoinflation.Inpractice,however,evidenceofsuchbehaviorintheshortrunhasbeendifficulttocom
2、eby.Thisliteraturereviewprovidesasynopsisofmuchoftheacademicandpractitionerresearchregardingtheeffectsofinflationonequityprices.JeremySiegel(2008),theauthorofStocksfortheLongRun,pointsoutthattherealreturnonU.S.equitieshasbeenremarkablyconsistentovertime.Althoug
3、hrisingpricescouldcrimpprofitsintheshortterm,Siegelarguesthatcompaniescaneventuallypassonhighercoststoconsumers.Thus,stockmarketreturnsareneutraltoinflationovertheverylongterm.JaffeandMandelker(1976)provideevidenceconsistentwithSiegel’sforthetimeperiodof1875to1
4、970.Incontrast,JohnMaynardKeynes(1924)famouslynotedthat“thelongrunisamisleadingguidetocurrentaffairs.Inthelongrunwearealldead.”AlthoughmanyassumeKeyneswasadvocatingshort-termgainsoverlong-termperformance,hewasactuallycriticizingthebeliefthatinflationcouldbecont
5、rolledwithoutgovernmentintervention.Butthestatementcouldalsobeappliedtotheevidencethatinflationisawashforstockreturnsovertheverylongterm:Whocares?“Inthelongrunwearealldead.”Justhowlongistheverylongterm?Shouldaninvestorbeconcernedwithinflation’sshort-runeffecton
6、equityprices?Theanswertothelatterquestionappearstobearesoundingyes,becauseSiegel(2008)alsoindicatesthatstockscanbeapoorshort-termhedgeforinflation.Bodie(1976)hasgonesofarastocomment“thattousecommonstocksasahedgeagainstinflation,onemustsellthemshort.”Thereisanob
7、viousconcernintheliteratureovertheshort-runeffectsofinflationonequityprices.Theparsingoftheliteraturereferencedinthisreviewiseasiertocomprehendifoneunderstandstheconditionsunderwhichequityprices(orrealequityreturns)wouldbeconsideredinflationneutral—thatis,unaff
8、ectedbyinflation.Inthecontextofthedividenddiscountmodel(DDM),stockswillbeinflationneutralifthreeconditionsaremet:(1)Inflationiscorrectlyanticipatedbymarketparticipants,(2)ex
