Investing in Deflation, Inflation, and Stagflation Regimes
研究了1875年以来不同通胀制度下资产类别和因子溢价的表现，发现温和通胀时回报最高，通缩时实际回报可观，而高通胀和滞胀时期股票和债券实际回报为负，但因子溢价为正，可部分抵消资本损失。
We examine asset class and factor premiums across inflationary regimes. As periods of deflation, high inflation, and especially stagflation are relatively uncommon in recent history, we use a deep sample starting in 1875. Moderate inflation scenarios provide the highest returns across asset class and factor premiums. During deflationary periods, nominal returns are low, but real returns are attractive. By contrast, real equity and bond returns are negative during a high inflation regime and especially so during times of stagflation. During these “bad times,” factor premiums are positive, which helps to offset part of the real capital losses.