One of the factors in the APT model specified in an influential paper by Chen, Roll, and Ross* is the percent change in unanticipated inflation. Who gains and who loses when inflation changes?
Go to http://hussmanfunds.com/rsi/infsurprises.htm to see a graph of the Inflation Surprise Index and Economists’ Inflation Forecasts. Which should have a higher inflation beta: an electric utility or a software development company? Can you test your hypothesis?