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Thirty-eight years of U.S. data indicate that U.S. monetary policy continues to have a strong relationship with security returns. U.S. stock returns are consistently higher and less volatile when the Federal Reserve is following an expansive monetary policy. Furthermore, the monetary...
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Ample evidence shows that size and book-to-market equity explain significant cross-sectional variation in stock returns, whereas betas contribution is minimal or nonexistent. Recent studies also demonstrate that proxies for monetary stringency increase the explained variation in stock returns....
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