The effects of monetary policy on stock returns: Financing constraints and “informative” and “uninformative” FOMC statements

We use firm-level data to reexamine the issue of possibly different impacts of “informative” and “uninformative” FOMC statements on stock returns in the period from 1999 to 2007. Our paper finds that stock returns respond significantly to surprise monetary shocks based on the informative FOMC statements; there is little evidence to show that stock returns respond to surprise monetary shocks based on uninformative statements.

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Year of publication:	2014
Authors:	Tsai, Chun-Li
Published in:	International Review of Economics & Finance. - Elsevier, ISSN 1059-0560. - Vol. 29.2014, C, p. 273-290
Publisher:	Elsevier
Subject:	Monetary policy \| Stock returns \| Informative FOMC statement \| Financial constraints

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Type of publication:	Article
Classification:	E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; E65 - Studies of Particular Policy Episodes ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011048245