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Title: Inflation announcements, federal reserve bias and stock returns
Author: Coelho, Miguel
Duque, João
Keywords: Stock Prices
Inflation Announcement
Federal Reserve Bias
Issue Date: 2004
Publisher: ISEG – Departamento de Gestão
Citation: Coelho, Miguel e João Duque. 2004. "Inflation announcements, federal reserve bias and stock returns". Instituto Superior de Economia e Gestão – Departamento de Gestão Working papers series nº 1-2004
Series/Report no.: Working papers series;nº 1-2004
Abstract: In this article, we found that the US stock prices react only to the unexpected component of US 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.
ISSN: 0874-8470
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Appears in Collections:DG - Documentos de trabalho / Working Papers

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