Industry Returns and the Fisher Effect
研究行业股票回报与预期通胀的关系，发现非周期性行业回报与预期通胀正相关，周期性行业则相反，并构建模型解释这一现象。
We investigate the cross-sectional relation between industry-sorted stock returns and expected inflation, and we find that this relation is linked to cyclical movements in industry output. Stock returns of noncyclical industries tend to covary positively with expected inflation, while the reverse holds for cyclical industries. From a theoretical perspective, we describe a model that captures both (i) the cross-sectional variation in these relations across industries, and (ii) the negative and positive relation between stock returns and inflation at short and long horizons, respectively. The model is developed in an economic environment in which the spirit of the Fisher model is preserved.