Abstract

http://ssrn.com/abstract=492782
 
 

References (26)



 


 



Inflation Announcements, Federal Reserve Bias And Stock
Returns


Miguel Coelho


Technical University of Lisbon - Instituto Superior de Economia e Gestao; CMVM - Comissao do Mercado de Valores Mobiliarios

João Duque


Technical University of Lisbon (UTL) - School of Economics and Management



Abstract:     
In this article, we found that the US stock prices react only to the unexpected component of U.S. inflation announcements, with such impact statistically significant only in a situation of economic recession. We also show that the impact of the unexpected component of inflation announcements is also dependent upon the 'signals' that the Federal Reserve sends to the market (the known Federal Reserve Bias). In fact, we found a negative correlation between the unexpected component of macroeconomic announcements and stock price returns, this correlation being statistically significant when the Federal Reserve discloses a Neutral Bias.

Number of Pages in PDF File: 35

Keywords: Stock Prices, Inflation Announcement, Federal Reserve Bias

JEL Classification: E44, G14

working papers series


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Date posted: January 27, 2004  

Suggested Citation

Coelho, Miguel and Duque, João, Inflation Announcements, Federal Reserve Bias And Stock Returns. Available at SSRN: http://ssrn.com/abstract=492782 or http://dx.doi.org/10.2139/ssrn.492782

Contact Information

Miguel Coelho
Technical University of Lisbon - Instituto Superior de Economia e Gestao ( email )
Rua Miguel Lupi, 20
Lisbon, 1249-078
Portugal
+351 213925800 (Phone)
CMVM - Comissao do Mercado de Valores Mobiliarios
Avenida Fontes Pereira de Melo, 21
Lisbon, 1056-801
Portugal
João Luís Correia Duque
Technical University of Lisbon (UTL) - School of Economics and Management ( email )
Rua Miguel Lupi, 20
Lisbon, 1249-078
Portugal
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