Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets

Dennis W. Jansen, Chun Li Tsai

研究成果: Article同行評審

58 引文 斯高帕斯(Scopus)

摘要

We examine asymmetries in the impact of monetary policy surprises on stock returns between bull and bear markets in the period 1994 to 2005. We ask how these impacts respond to the relative ability of firms to obtain external finance. We find that the impact of a surprise monetary policy in a bear market is large, negative, and statistically significant, and this holds across size decile portfolios. The impact of a surprise policy action in a bear market for most industries is significantly greater than the impact of surprise monetary policy in a bull market. Controlling for the capacity for external finance, stock returns of firms in bear states respond more than firms in bull states. Capacity for external finance is more important in a bear market, as it partially mitigates the larger impact of monetary policy in a bear market.

原文English
頁(從 - 到)981-990
頁數10
期刊Journal of Empirical Finance
17
發行號5
DOIs
出版狀態Published - 2010 十二月 1

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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