Given a sequence of moments $\{c_{n}\}_{n\in\ze}$ associated with an Hermitian linear functional $\mathcal{L}$ defined in the space of Laurent polynomials, we study a new functional $\mathcal{L}_{\Omega}$ which is a perturbation of $\mathcal{L}$ in such a way that a finite number of moments are perturbed. Necessary and sufficient conditions are given for the regularity of $\mathcal{L}_{\Omega}$, and a connection formula between the corresponding families of orthogonal polynomials is obtained. On the other hand, assuming $\mathcal{L}_{\Omega}$ is positive definite, the perturbation is analyzed through the inverse Szego transformation. Keywords: Orthogonal polynomials on the unit circle, perturbation of moments, inverse Szego transformation. To cite this article: E. Fuentes, L.E. Garza, On a finite moment perturbation of linear functionals and the inverse Szego transformation, Rev. Integr. Temas Mat. 34 (2016), No. 1, 39–58.