Department of Economics2024-11-0919990378-426610.1016/S0378-4266(98)00121-62-s2.0-0003602593http://dx.doi.org/10.1016/S0378-4266(98)00121-6https://hdl.handle.net/20.500.14288/8575This paper evaluates the impact of unexpected inflation on the stock returns of a sample of French banks. It offers an empirical test of theories that have predicted an impact of inflation on the stock returns of banks. The paper complements a large literature that has focused exclusively on the impact of unexpected interest rates. The analysis provides empirical support to the hypothesis that, in periods of volatile inflation, there exists an inflation risk factor which is independent of the well-documented interest rate factor.BusinessFinanceEconomicsJournal Article804849000055203