Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case

被引:10
作者
Diaz, Antonio [1 ]
Jareno, Francisco [1 ]
机构
[1] Univ Castilla La Mancha, Fac CC Econ & Empresari Albacete, Dept Anal Econ & Finanzas, Plaza Univ 1, Albacete 02071, Spain
关键词
Inflation announcement; Stock return; Flow-through capability;
D O I
10.1016/j.ribaf.2008.12.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study the short run response of daily stock prices on the Spanish market to the announcements of inflation news at an industrial level, deepening the potential explanatory factors of this response (risk-free interest rate, risk premium and growth expectations). We observe a positive and significant response of the stock returns in case of "bad news" (total inflation rate higher than expected one) in recession, and also in case of negative inflation surprises ("good news") in non-economic recession. This behaviour is consistent with the evolution of the company dividend growth expectations, since we observe that the relationship between this theoretical component of the stock price and the unexpected inflation, to a large extent, seems to explain the observed behaviour. (C) 2008 Elsevier B.V. All rights reserved.
引用
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页码:349 / 368
页数:20
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