IDEAS home Printed from https://ideas.repec.org/a/bla/jbfnac/v24y1997i5p629-644.html
   My bibliography  Save this article

Federal Reserve Monetary Policy and Industry Stock Returns

Author

Listed:
  • Gerald R. Jensen
  • Robert R. Johnson
  • W. Scott Bauman

Abstract

Recent studies identify stock return patterns associated with changes in Federal Reserve monetary policy. We find that these return patterns prevail across sixteen industry stock indices. However, significant cross‐industry variation exists as the apparel industry exhibits mean annual returns that are 50% higher under an expansive Fed policy than under a restrictive policy, while the same return difference for the oil industry is only 20%. This cross‐industry variation suggests that monetary conditions may be used by investors to estimate different expected returns across industries. Furthermore, the findings support the view that monetary considerations should be considered in ex ante asset pricing models such as the CAPM.

Suggested Citation

  • Gerald R. Jensen & Robert R. Johnson & W. Scott Bauman, 1997. "Federal Reserve Monetary Policy and Industry Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 629-644, June.
    • Handle: RePEc:bla:jbfnac:v:24:y:1997:i:5:p:629-644
    DOI: 10.1111/1468-5957.00125
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-5957.00125
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-5957.00125?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nikkinen, Jussi & Sahlstrom, Petri, 2004. "Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 1-12.
    2. Tori, Cynthia Royal, 2001. "Federal Open Market Committee meetings and stock market performance," Financial Services Review, Elsevier, vol. 10(1-4), pages 163-171.
    3. Ming-Hsiang Chen, 2010. "Federal Reserve Monetary Policy and US Hospitality Stock Returns," Tourism Economics, , vol. 16(4), pages 833-852, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jbfnac:v:24:y:1997:i:5:p:629-644. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.