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.