Asymmetric S&P 500 reactions to CPI surprises in a high-inflation environment

This paper examines short-term equity market reactions to U.S. Consumer Price Index (CPI) announcements during the high-inflation regime of 2021–2025. Using an event study with the Constant Mean Return Model and daily S&P 500 returns, we document a pronounced asymmetry. Positive surprises (actual CPI below expectations) generate large and statistically significant abnormal returns across all event windows, with CARs exceeding 1%. In contrast, negative surprises (actual CPI above expectations) produce negative abnormal returns of similar magnitude but without statistical significance. Neutral announcements show no robust effects. These findings demonstrate that equity market sensitivity to CPI news is strongly regime-dependent and asymmetric, with disinflationary signals driving the most pronounced market reactions.