We analyze the impact of unanticipated monetary policy changes on equity returns and document that financially constrained firms earn a significantly lower return following rate increases as compared to unconstrained firms. Trading volume is significantly lower for constrained firms on FOMC...

We analyze the impact of unanticipated monetary policy changes on equity returns and document that financially constrained firms earn a significantly lower return following rate increases as compared to unconstrained firms. Trading volume is significantly lower for constrained firms on FOMC...

We provide firm-level evidence that FOMC announcements have real effects by changing expectations of firm profitability. We use an existing decomposition of a monetary policy shock into a central bank information (CBI) component and a conventional monetary (MP) component. We find: (1) firms with...

We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982, and a significant decline in this predictability during the Great Moderation. These findings are robust to alternative empirical specifications and out-of-sample tests. We...

We find a significant increase in sensitivities of firm-level investment to monetary policy changes after interstate banking deregulation (IBD) in the U.S. The sensitivities are on average 2% more negative in the years following IBD compared to prior. The intensification of monetary policy...

We provide firm-level evidence that Federal Open Market Committee announcements have real effects by changing expectations of firm profitability. We use an existing decomposition of a monetary policy shock into a central bank information component (CBI) and a conventional monetary component...