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Business conditions, monetary policy, and expected security returns

Citations

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Cited by:

  1. Mehmet Ivrendi & Douglas K. Pearce, 2014. "Asset prices and expected monetary policy: evidence from daily data," Applied Economics, Taylor & Francis Journals, vol. 46(9), pages 985-995, March.
  2. Gagan Deep Sharma & Mandeep Mahendru & Mrinalini Srivastava, 2019. "Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India," Economies, MDPI, vol. 7(2), pages 1-19, May.
  3. Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
  4. Ricardo J. Caballero & Alp Simsek, 2020. "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," NBER Working Papers 27712, National Bureau of Economic Research, Inc.
  5. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  6. Pisun Xu & Jian Yang, 2011. "U.S. Monetary Policy Surprises and International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 43(4), pages 459-490, November.
  7. Nkwoma John Inekwe, 2016. "Financial uncertainty, risk aversion and monetary policy," Empirical Economics, Springer, vol. 51(3), pages 939-961, November.
  8. L'Her, Jean-Francois & Masmoudi, Tarek & Suret, Jean-Marc, 2004. "Evidence to support the four-factor pricing model from the Canadian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 313-328, October.
  9. J. Benson Durham, 2003. "Estimates of the term premium on near-dated federal funds futures contracts," Finance and Economics Discussion Series 2003-19, Board of Governors of the Federal Reserve System (U.S.).
  10. John, Tatom, 2009. "U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?," MPRA Paper 19762, University Library of Munich, Germany.
  11. James R Booth & Lena Chua Booth, 2003. "Is presidential cycle in security returns merely a reflection of business conditions?," Review of Financial Economics, John Wiley & Sons, vol. 12(2), pages 131-159.
  12. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
  13. Maged Shawky Sourial, 2002. "The Future of the Stock Market Channel In Egypt," Finance 0204002, University Library of Munich, Germany.
  14. Luis Garcia-Feijoo & Gerald R. Jensen, 2014. "The Monetary Environment And Long-Run Reversals In Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 3-26, February.
  15. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2006. "The value, size, and momentum spread during distressed economic periods," Finance Research Letters, Elsevier, vol. 3(4), pages 244-252, December.
  16. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May.
  17. Andreas Neuhierl & Michael Weber & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo.
  18. Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
  19. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
  20. Steven A. Sharpe, 1999. "Stock prices, expected returns, and inflation," Finance and Economics Discussion Series 1999-02, Board of Governors of the Federal Reserve System (U.S.).
  21. Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
  22. Johnsona, Robert R. & Buetow, Gerald W. & Jensen, Gerald R., 1999. "International mutual fund returns and Federal Reserve policy," Financial Services Review, Elsevier, vol. 8(3), pages 199-210.
  23. Ching-Chun Wei, 2008. "The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China," Economics Bulletin, AccessEcon, vol. 3(65), pages 1-14.
  24. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
  25. David A. Becher & Gerald R. Jensen & Jeffrey M. Mercer, 2008. "Monetary Policy Indicators As Predictors Of Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(4), pages 357-379, December.
  26. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
  27. Yuriy Gorodnichenko & Michael Weber, 2016. "Are Sticky Prices Costly? Evidence from the Stock Market," American Economic Review, American Economic Association, vol. 106(1), pages 165-199, January.
  28. Gasbarro, Dominic & Monroe, Gary S., 2004. "The impact of monetary policy candidness on Australian financial markets," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 35-46, February.
  29. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
  30. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  31. Su-Jane Chen & Ming-Hsiang Chen, 2009. "Discount Rate Changes and Market Timing: A Multinational Study," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 329-349, November.
  32. Powell, John G. & Shi, Jing & Smith, Tom & Whaley, Robert E., 2009. "Political regimes, business cycles, seasonalities, and returns," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1112-1128, June.
  33. Lucas, Andre & van Dijk, Ronald & Kloek, Teun, 2002. "Stock selection, style rotation, and risk," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 1-34, January.
  34. Wong, Wing-Keung & McAleer, Michael, 2009. "Mapping the Presidential Election Cycle in US stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(11), pages 3267-3277.
  35. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
  36. McCredie, Bronwyn & Docherty, Paul & Easton, Steve & Uylangco, Katherine, 2014. "The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 261-271.
  37. Wang, Shen & Mayes, David G., 2012. "Monetary policy announcements and stock reactions: An international comparison," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 145-164.
  38. Bulmash, Samuel B., 2002. "A new paradigm: the wealth effect of the stock market on consumption, in a context of interacting bio-systems," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 31(1), pages 75-100.
  39. Becher, David & Jensen, Tyler K. & Liu, Tingting, 2020. "Acquisitions and funding conditions," Journal of Corporate Finance, Elsevier, vol. 65(C).
  40. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, vol. 18(1), pages 47-55, January.
  41. Jan Hanousek & Evžen Kočenda, 2011. "Foreign News and Spillovers in Emerging European Stock Markets," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 170-188, February.
  42. Wongswan, Jon, 2009. "The response of global equity indexes to U.S. monetary policy announcements," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 344-365, March.
  43. J. Benson Durham, 2001. "The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses," Finance and Economics Discussion Series 2001-42, Board of Governors of the Federal Reserve System (U.S.).
  44. Martin T. Bohl & Christian A. Salm, 2009. "The Other January Effect: International Evidence," CQE Working Papers 0809, Center for Quantitative Economics (CQE), University of Muenster.
  45. Christopher J. Neely, 2004. "The Federal Reserve responds to crises: September 11th was not the first," Review, Federal Reserve Bank of St. Louis, vol. 86(Mar), pages 27-42.
  46. Gregory Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers 04-47, Bank of Canada.
  47. Bronwyn McCredie, 2020. "The discrete and differential impact of monetary policy," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2919-2937, September.
  48. Victoria Atanasov, 2016. "Conditional interest rate risk and the cross‐section of excess stock returns," Review of Financial Economics, John Wiley & Sons, vol. 30(1), pages 23-32, September.
  49. Jongrim Ha, 2020. "Nonlinear transmission of U.S. monetary policy shocks to international financial markets," International Finance, Wiley Blackwell, vol. 23(3), pages 350-369, December.
  50. Heimonen, Kari, 2010. "Money and equity returns in the Euro area," Global Finance Journal, Elsevier, vol. 21(2), pages 152-169.
  51. Cho, Sungjun, 2013. "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 87-106.
  52. Jensen, Gerald R. & Mercer, Jeffrey M., 2006. "Security markets and the information content of monetary policy turning points," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 477-494, September.
  53. Johnson, Robert R. & Buetow, Gerald W. & Jensen, Gerald R. & Reilly, Frank K., 2003. "Monetary policy and fixed income returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(1), pages 133-146.
  54. Gallo, Lindsey A. & Hann, Rebecca N. & Li, Congcong, 2016. "Aggregate earnings surprises, monetary policy, and stock returns," Journal of Accounting and Economics, Elsevier, vol. 62(1), pages 103-120.
  55. Terence Tai-Leung Chong & Nasha Li & Lin Zou, 2017. "A New Approach to Modeling Sector Stock Returns in China," Chinese Economy, Taylor & Francis Journals, vol. 50(5), pages 305-322, September.
  56. Atanasov, Victoria, 2016. "Conditional interest rate risk and the cross-section of excess stock returns," Review of Financial Economics, Elsevier, vol. 30(C), pages 23-32.
  57. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.
  58. Jensen, Gerald R. & Moorman, Theodore, 2010. "Inter-temporal variation in the illiquidity premium," Journal of Financial Economics, Elsevier, vol. 98(2), pages 338-358, November.
  59. English, William B. & Van den Heuvel, Skander J. & Zakrajšek, Egon, 2018. "Interest rate risk and bank equity valuations," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 80-97.
  60. Hilliard, Jitka & Zhang, Haoran, 2015. "Size and price-to-book effects: Evidence from the Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 40-55.
  61. Farid Irani & Salih Katircioglu & Korhan K. Gokmenoglu, 2021. "Effects of Business and Finance Conditions on Tourism Firms’ Financial Performances: Evidence From Major Tourist Destinations," SAGE Open, , vol. 11(3), pages 21582440211, August.
  62. Domian, Dale L. & Reichenstein, William, 1998. "Term Spreads and Predictions of Bond and Stock Excess Returns," Financial Services Review, Elsevier, vol. 7(1), pages 25-44.
  63. Narayan, Paresh Kumar & Bannigidadmath, Deepa & Narayan, Seema, 2021. "How much does economic news influence bilateral exchange rates?," Journal of International Money and Finance, Elsevier, vol. 115(C).
  64. Prabu A, Edwin & Bhattacharyya, Indranil & Ray, Partha, 2016. "Is the stock market impervious to monetary policy announcements: Evidence from emerging India," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 166-179.
  65. Chevapatrakul, Thanaset, 2015. "Monetary environments and stock returns: International evidence based on the quantile regression technique," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 83-108.
  66. Syed M. Harun & M. Kabir Hassan & Tarek S. Zaher, 2005. "Effect of Monetary Policy on Commercial Banks Across Different Business Conditions," Multinational Finance Journal, Multinational Finance Journal, vol. 9(1-2), pages 99-128, March-Jun.
  67. Jian Zhou & Jin Man Lee, 2013. "Adaptive market hypothesis: evidence from the REIT market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1649-1662, November.
  68. Ellis B. Heath & Seth J. Kopchak, 2015. "The Response of the Mexican Equity Market to US Monetary Surprises," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 87-111, August.
  69. Mira Farka, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 47-55, January.
  70. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
  71. Garcia-Feijoo, Luis & Jensen, Gerald R. & Jensen, Tyler K., 2018. "Momentum and funding conditions," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 312-329.
  72. Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
  73. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
  74. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
  75. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2016. "The US Monetary Base and Major World Equity Markets: An Empirical Investigation," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 49-64, August.
  76. Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
  77. Booth, James R. & Booth, Lena Chua, 2003. "Is presidential cycle in security returns merely a reflection of business conditions?," Review of Financial Economics, Elsevier, vol. 12(2), pages 131-159.
  78. Smales, Lee A., 2016. "News sentiment and bank credit risk," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 37-61.
  79. Ewing, Bradley T. & Payne, James E., 2005. "The response of real estate investment trust returns to macroeconomic shocks," Journal of Business Research, Elsevier, vol. 58(3), pages 293-300, March.
  80. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
  81. Patel, Ajay & Shoesmith, Gary L., 2004. "Term structure linkages surrounding the Plaza and Louvre accords: Evidence from Euro-rates and long-memory components," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2051-2075, September.
  82. Ying Hao & Hsiang-Hui Chu & Kuan-Cheng Ko & Lin Lin, 2016. "Momentum Strategies and Investor Sentiment in the REIT Market," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 41-71, March.
  83. Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  84. Jan Hanousek & Evžen Kočenda, 2010. "Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU [Effect of Intraday Information Flow on the Emerging European Stock Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 435-457.
  85. repec:ebl:ecbull:v:3:y:2008:i:65:p:1-14 is not listed on IDEAS
  86. John Ammer & Clara Vega & Jon Wongswan, 2010. "International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 179-198, September.
  87. Paul Goebel & David Harrison & Jeffrey Mercer & Ryan Whitby, 2013. "REIT Momentum and Characteristic-Related REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 564-581, October.
  88. Lee, Ki Seong & Yoon, Seok, 2007. "Interrelationships and volatility of the financial asset prices under capital flows: The case of Korea," Economic Modelling, Elsevier, vol. 24(3), pages 386-397, May.
  89. Jansen, Dennis W. & Li, Qi & Wang, Zijun & Yang, Jian, 2008. "Fiscal policy and asset markets: A semiparametric analysis," Journal of Econometrics, Elsevier, vol. 147(1), pages 141-150, November.
  90. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
  91. Tori, Cynthia Royal, 2001. "Federal Open Market Committee meetings and stock market performance," Financial Services Review, Elsevier, vol. 10(1-4), pages 163-171.
  92. Ming-Chi Chen & Chi-Lu Peng & So-De Shyu & Jhih-Hong Zeng, 2012. "Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 364-382, August.
  93. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
  94. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  95. Samar Ashour & David A. Rakowski & Salil K. Sarkar, 2019. "U.S. presidential cycles and the foreign exchange market," Review of Financial Economics, John Wiley & Sons, vol. 37(4), pages 523-540, October.
  96. Chevapatrakul, Thanaset, 2014. "Monetary environments and stock returns revisited: A quantile regression approach," Economics Letters, Elsevier, vol. 123(2), pages 122-126.
  97. Bahram Adrangi & Hannah Baade & Kambiz Raffiee, 2019. "Dynamic Responses of the Economy to Monetary Shocks in the United Kingdom," Review of Economics & Finance, Better Advances Press, Canada, vol. 15, pages 31-45, February.
  98. Thomas Mann & Richard Dowen, 2004. "The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976-1998," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1125-1150.
  99. Thomas Mann & Richard Dowen, 2004. "The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976–1998," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1125-1150, September.
  100. Ioannidis, Christos & Kontonikas, Alexandros, 2008. "The impact of monetary policy on stock prices," Journal of Policy Modeling, Elsevier, vol. 30(1), pages 33-53.
  101. Jing Wang & Xiaoneng Zhu, 2013. "The reaction of international stock markets to Federal Reserve policy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 1-30, March.
  102. Kallberg, Jarl & Pasquariello, Paolo, 2008. "Time-series and cross-sectional excess comovement in stock indexes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 481-502, June.
  103. Mirzosharif JALOLOV & Tatsuyoshi MIYAKOSHI, 2005. "Who Drives The Russian Financial Markets?," The Developing Economies, Institute of Developing Economies, vol. 43(3), pages 374-395, September.
  104. Smales, Lee A., 2015. "Asymmetric volatility response to news sentiment in gold futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 161-172.
  105. Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha, 2012. "Global style momentum," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 319-333.
  106. Smales, Lee A., 2014. "News sentiment in the gold futures market," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 275-286.
  107. Andrew Detzel, 2017. "Monetary Policy Surprises, Investment Opportunities, And Asset Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 315-348, September.
  108. Tyler K. Jensen & Robert R. Johnson & Michael J. McNamara, 2019. "Funding conditions and insurance stock returns: Do insurance stocks really benefit from rising interest rate regimes?," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(4), pages 367-391, December.
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