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Security markets and the information content of monetary policy turning points

  • Jensen, Gerald R.
  • Mercer, Jeffrey M.
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-4M0J4WP-1/2/9f3a666f10d924d10eb127ba73518b02
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 46 (2006)
    Issue (Month): 4 (September)
    Pages: 477-494

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    Handle: RePEc:eee:quaeco:v:46:y:2006:i:4:p:477-494
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    1. Gerald R. Jensen & Jeffrey M. Mercer, 2002. "Monetary Policy and the Cross-Section of Expected Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(1), pages 125-139.
    2. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-54, June.
    3. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
    4. 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.
    5. Ben S. Bernanke & Alan S. Blinder, 1989. "The federal funds rate and the channels of monetary transmission," Working Papers 89-10, Federal Reserve Bank of Philadelphia.
    6. James R. Booth & Lena Chua Booth, 1997. "Economic factors, monetary policy and expected returns on stocks and bonds," Economic Review, Federal Reserve Bank of San Francisco, pages 32-42.
    7. Cook, Timothy & Hahn, Thomas, 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 167-80, May.
    8. Waud, Roger N, 1970. "Public Interpretation of Federal Reserve Discount Rate Changes: Evidence on the 'Announcement Effect'," Econometrica, Econometric Society, vol. 38(2), pages 231-50, March.
    9. 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.
    10. Smirlock, Michael J & Yawitz, Jess B, 1985. " Asset Returns, Discount Rate Changes, and Market Efficiency," Journal of Finance, American Finance Association, vol. 40(4), pages 1141-58, September.
    11. Wagster, John, 1993. "The Information Content of Discount Rate Announcements Revisited: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(1), pages 132-37, February.
    12. Haslag, Joseph H & Hein, Scott E, 1995. "Quasi Balance-Sheet Measures of U.S. Monetary Policy: A Closer Look," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 124-39, February.
    13. Daniel L. Thornton, 1998. "Tests of the market's reaction to federal funds rate target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-36.
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