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  • MKT Research

Measuring Stock Inflation Sensitivity

By MKT MediaStats Research Team

This note introduces a new stock inflation score, obtained while fusing variation in macroeconomic factors with big-data signals designed to better capture stock-price movements due to investor attention to inflation. The universe includes US large caps over 1973-2021. The proposed scores are consistent with economic theory and generate desirable return properties as well as significant correlations to various measures of inflation. Scores display meaningful cross-sector and within- sector variation in stock-level inflation exposures, resulting with a well populated set of index / basket candidates.

MSCI-Inflation US Scores Methodology_2021-08-02
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