The Adjustment of Stock Prices to Information About Inflation
分析股票价格如何对通胀新信息做出反应，基于1953-78年标准普尔综合组合的日回报数据，发现股市在消费者价格指数（CPI）公布时对意外通胀有负面反应，但幅度较小。
ABSTRACT 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.