n Investment Analysts Journal - Retracted article : The inflation hedging ability of individual shares : evidence from the Johannesburg Stock Exchange (JSE)

Volume 47 Number 2
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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Inflation erodes the purchasing power of money invested in stocks in different sectors differently over a long investment horizon.

This study adds value to previous research by determining whether there is evidence of inflation hedging stocks on the JSE. Inflation hedging portfolios are constructed and compared using the inflation betas and real returns of individual stock and sector stock portfolios.

The results obtained based on inflation hedging betas did not produce conclusive evidence of hedging benefits. Measuring inflation hedging benefits of individual stocks and sector portfolios based on performance measures such as real return, reliability and risk-adjusted return was more conclusive. The best inflation hedging sectors were healthcare, consumer staples and technology because of their ability to freely adjust the prices of their products or services. A long investment horizon seems to offer inflation hedging benefits.

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