This paper analyses the relationship between inflation and equity returns in Australia over the period January 1974 to March 1996. Analysis is based on monthly and quarterly data, using value weighted equity indices at both the aggregate market and industry level. Three price indices, the consumer price index (CPI) (quarterly) and the manufactured materials used index (MMU) and the manufacturing articles produced index (MAP) (both monthly and quarterly) are used to measure inflation. Results provide little evidence of the statistically significant negative relationship observed in the US for the full study period. Analysis is also conducted on three subperiods, 'monetary targeting' (July 1976-January 1985), 'checklist approach' (February 1985-December 1989) and anti-inflation (January 1990-March 1996). At the market level the anti-inflation subperiod does provide some evidence of a negative relationship between inflation and equity returns though statistical significance is not apparent with quarterly time series. The impact of expected inflation on industry returns varies considerably. Consistent with the overall market analysis, the incidence of negative expected inflation betas increases in the latter anti-inflation subperiod. Finally, changes in Government inflation policy appear to have greatest impact on industrial company expected inflation betas.