Inflation announcements, federal reserve bias and stock returns

Detalhes bibliográficos
Autor(a) principal: Coelho, Miguel
Data de Publicação: 2004
Outros Autores: Duque, João
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/2188
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.
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spelling Inflation announcements, federal reserve bias and stock returnsStock PricesInflation AnnouncementFederal Reserve BiasIn 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.ISEG – Departamento de GestãoRepositório da Universidade de LisboaCoelho, MiguelDuque, João2010-07-20T10:35:00Z20042004-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/2188engCoelho, 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 1-04.0874-8470info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:33:25Zoai:www.repository.utl.pt:10400.5/2188Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:50:15.129098Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Inflation announcements, federal reserve bias and stock returns
title Inflation announcements, federal reserve bias and stock returns
spellingShingle Inflation announcements, federal reserve bias and stock returns
Coelho, Miguel
Stock Prices
Inflation Announcement
Federal Reserve Bias
title_short Inflation announcements, federal reserve bias and stock returns
title_full Inflation announcements, federal reserve bias and stock returns
title_fullStr Inflation announcements, federal reserve bias and stock returns
title_full_unstemmed Inflation announcements, federal reserve bias and stock returns
title_sort Inflation announcements, federal reserve bias and stock returns
author Coelho, Miguel
author_facet Coelho, Miguel
Duque, João
author_role author
author2 Duque, João
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Coelho, Miguel
Duque, João
dc.subject.por.fl_str_mv Stock Prices
Inflation Announcement
Federal Reserve Bias
topic Stock Prices
Inflation Announcement
Federal Reserve Bias
description 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.
publishDate 2004
dc.date.none.fl_str_mv 2004
2004-01-01T00:00:00Z
2010-07-20T10:35:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/2188
url http://hdl.handle.net/10400.5/2188
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 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 1-04.
0874-8470
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG – Departamento de Gestão
publisher.none.fl_str_mv ISEG – Departamento de Gestão
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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