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Effects of Nominal Contracting on Stock Returns
Excerpt from Effects of Nominal Contracting on Stock Returns
In section 3 we form 27 portfolios based on relative rankings of three nominal contracting (1) Short-term Monetary Position, (cash Accounts Receivable Current Liabilities); (ii) Long-term Monetary Position,( Long-term Debt Preferred Stock); and (iii) an estimate of the Depreciation Tax Shield. Firms with data available on the compustat data tape and the crsp Monthly Returns File are grouped into one of the 27 portfolios based on the values of these nominal con tracting variables. Using a variety of test procedures, we find no evidence that stockholders of firms with more nominal liabilities benefit from unexpected inflation.
In section 3 we form 27 portfolios based on relative rankings of three nominal contracting (1) Short-term Monetary Position, (cash Accounts Receivable Current Liabilities); (ii) Long-term Monetary Position,( Long-term Debt Preferred Stock); and (iii) an estimate of the Depreciation Tax Shield. Firms with data available on the compustat data tape and the crsp Monthly Returns File are grouped into one of the 27 portfolios based on the values of these nominal con tracting variables. Using a variety of test procedures, we find no evidence that stockholders of firms with more nominal liabilities benefit from unexpected inflation.
56 pages, Paperback
Published August 24, 2018
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