Capital Gains, Dividend Yields, and Expected Inflation
研究股票回报与通胀的负相关关系，发现通胀与真实价格/股息比率（超额回报）的变动有关，且股息收益率和资本利得回报对预期通胀的反应不同，基于美国和外国市场的实证证据。
One explanation for the negative relationship between short‐horizon stock returns and inflation is that inflation proxies (inversely) for expected future real output. In this paper, I examine the possibility that inflation also proxies for variation in real price/dividend ratios (excess returns). I show that when the covariance between real price/dividend ratios and inflation is nonzero, the relationship between returns and expected inflation differs for the two components of returns: dividend yields and capital gains returns. My empirical evidence demonstrates that dividend yields and capital gains are related differently to expected inflation in U.S. and foreign markets.