Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Track T7-5: Market power, markups and asset prices
Time:
Tuesday, 21/May/2024:
1:45pm - 2:30pm
Session Chair: Erik Loualiche, University of Minnesota Discussant: Adam Zhang, University of Minnesota
Location:Room 601
Presentations
Inflation Surprises and Equity Returns
Antonio Gil de Rubio Cruz, Emilio Osambela, Berardino Palazzo, Francisco Palomino, Gustavo Suarez
Board of Governors of the Federal Reserve System
U.S. stocks' response to inflation surprises is, on average, robustly negative and shows pronounced time-series variability. Consistent with a view that stock prices respond to inflation surprises that affect the monetary policy stance, we document the largest stock market sensitivity during periods when inflation expectations and the output gap are running high. During these periods, firms with low net leverage, large market capitalization, high market beta, low book-to-market, and low markups are especially susceptible to inflation surprises.
