The expected inflation risk premium in the U.S. stock market
研究预期通胀风险如何影响资产价格，提出基于黄金期货期限价差的交易型代理指标，发现该风险会压低当前股价并提高股票回报，尤其对定价能力强的公司影响更大。
Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns. We find that our proxy has a positive impact on firms that have more pricing power.