Knif, Johan; Kolari, James; Pynnönen, Seppo - In: Journal of Financial Research 31 (2008) 2, pp. 141-166
This article shows that differentiating between good and bad inflation news is important to understanding how inflation affects stock market returns. Summing positive and negative inflation shocks as in previous studies tends to wash out or mute the effects of inflation news on stock returns....
