Fundamentally, stocks are a good hedge against inflation if corporate profitability keeps up with inflation. Using monthly stock-market data covering over 151 years from 1871 to 2022, this paper analyzes the relationship between inflation and corporate profitability, measured by...

Expected idiosyncratic volatility and its positive relation to expected returns of Fu (2009) can be closely replicated, but only when we include information up to time t to estimate the idiosyncratic volatility at time t. Since this involves look-ahead bias, we re-estimate expected idiosyncratic...

Yields on long-term municipal bonds reflect both current and expected future tax rates. This paper derives expected changes in tax rates from yields on short- and long-term municipal bonds and examines the relationship between expected changes in tax rates and the financial condition of the...