Commodity Contracts and Common Stocks as Hedges against Relative Consumer Price Risk
发现投资者可以事先构建投资组合，对冲食品、住房和交通三类消费价格的不确定性，并揭示普通股组合能有效对冲特定通胀，而商品期货组合无助于对冲。
Evidence provided here suggests that investors could have identified, ex ante, portfolios that hedge against uncertainty in the prices of three major categories of consumption: food, shelter, and transportation. This finding has implications for the practical impor? tance of multi-period capital asset pricing theories that assume investors can identify such hedge portfolios. The study also provides some surprising evidence about the usefulness of common stocks and commodity futures contracts in hedging against specific price infla? tion. Certain combinations of common stocks serve as effective hedges, but combinations of commodity futures contracts contribute nothing to hedging ability.