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Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Stagflationary Stock ReturnsBen Knox, Yannick Timmer2025-056Please cite this paper as:Knox, Ben, and Yannick Timmer (2025).“Stagflationary Stock Returns,” Finance andEconomics Discussion Series 2025-056.Washington: Board of Governors of the FederalReserve System, https://doi.org/10.17016/FEDS.2025.056.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Stagflationary Stock Returns∗Ben Knox †Yannick Timmer ‡March 14, 2025AbstractWe study investors’ perceptions of inflation through the lens of a high-frequencyevent study, documenting they have a stagflationary view of the world. In responseto higher-than-expected inflation, investors expect firms’ nominal cash flows to remainstagnant while discount rates increase, resulting in lower stock prices. Both the equityrisk premium and nominal risk-free yields rise, but longer-term real yields remainunchanged. Consistent with investors interpreting inflation as a cost shock, investorsexpect firms with low market power to suffer larger declines in cash flows. Cash flowexpectations of equity investors are aligned with those of professional earnings analysts.JEL Codes: G12, E31, E44, L11Keywords: Inflation, Stock Returns, Stagnant Cash Flows, Market Power∗This version: March 14, 2025. Most recent version: here. We are grateful to our discussants IshaAgrawal, Kristle Cortes, Francesco D’Acunto, Eleonora Granziera, Preetesh Kantak, Lifang Li, and GustavoSuarez, as well as Markus Brunnermeier, Fernando Duarte, Markus Ibert, Lasse Pedersen, Bruno Pellegrino,Andres Schneider, Annette Vissing-Jorgensen, Michael Weber, and conference participants at the AFA 2024,SFS Calvacade 2024, CEPR New Challenges in Monetary Economics & Macro Finance conference, HEC-McGill Winter Finance Conference, Bank of Canada-University of Toronto Conference on “The Return ofHigh Inflation: Challenges for Monetary Policy”, FRB Macro-Finance Conference, BSE Summer ForumWorkshop on Financial Shocks, Channels, and Macro Outcomes, the CEMLA Workshop on “Inflation,Expectations, and Forecasts”, Australasian Finance & Banking Conference, and the 2023 Sydney Bankingand Financial Stability Conference for useful comments.We thank Diego Silva and John Schindler forexcellent research assistance. The views expressed in the paper are those of the authors and do not necessarilyrepresent the views of the Federal Reserve Board or the Federal Reserve System.†Federal Reserve Board. Email: