The Adjustment of Stock Prices to Information About Inflation
University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
Journal of Finance, 36 (March 1981) 15-29
This paper analyzes the reaction of stock prices to the new information
about inflation. Based on daily returns to the Standard and Poor's
composite portfolio from 1953-78, it seems that the stock market reacts
negatively to the announcement of unexpected inflation in the Consumer
Price Index (C.P.I.), although the magnitude of the reaction is small. It
is interesting to note that the stock market seems to react at the time
of announcement of the C.P.I., approximately one month after the price data
are collected by the Bureau of Labor Statistics.
Key words: Inflation, Efficient markets
JEL Classifications: G14, E31
Cited 47 times in the SSCI through April 1996
© Copyright 1981, American Finance Association
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