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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2188

Título: Inflation announcements, federal reserve bias and stock returns
Autor: Coelho, Miguel
Duque, João
Palavras-chave: Stock Prices
Inflation Announcement
Federal Reserve Bias
Issue Date: 2004
Editora: ISEG – Departamento de Gestão
Citação: 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
Relatório da Série N.º: Working papers series;nº 1-2004
Resumo: 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.
URI: http://hdl.handle.net/10400.5/2188
ISSN: 0874-8470
Versão do Editor: http://www.iseg.utl.pt/departamentos/gestao/wp/N1_2004.pdf
Appears in Collections:DG - Documentos de trabalho / Working Papers

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