Inflation, benchmark return, arbitrage and asset pricing [r-libre/4188]

Bergeron, Claude (2026). Inflation, benchmark return, arbitrage and asset pricing. SN Business & Economics, 6 (217), 1-27. 10.1007/s43546-026-01223-4

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Catégorie de document :	Articles de revues
Évaluation par un comité de lecture :	Oui
Étape de publication :	Publié
Résumé :	In this paper, we extend the benchmark asset pricing model of Bergeron (2022) and Baigent (2024), adding the factor of inflation. The extension model considers a standard discrete-time framework, and its central assumption supposes that the representative investor estimates, for each asset, the expected real return, as well as the expected relative return. To simplify the derivation, the extension model also considers the familiar no-arbitrage paradigm. Our main result indicates that the expected return of an asset is positively and linearly related to its inflation beta (given by the covariance between the asset’s return and the inflation factor), in addition to its benchmark beta (obtained from the covariance between the asset’s return and the benchmark factor). This suggests, from a theoretical point of view, that inflation and benchmark risks influence asset returns.
Déposant:	Bergeron, Claude
Responsable :	Claude Bergeron
Dépôt :	12 aout 2026 13:32
Dernière modification :	12 aout 2026 13:32

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