The Adjustment of Stock Prices to Information About Inflation
G. William Schwert
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
Key words: Inflation, Efficient markets
JEL Classifications: G14, E31
Cited 117 times in the SSCI and SCOPUS through 2016
© Copyright 1981, American Finance Association
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