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Firm value, investment and monetary policy

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  • Marcelo Bianconi
  • Joe Akira Yoshino

Abstract

This paper presents empirical evidence supporting the view that US monetary conditions matter for firms in the global capital market in a recent period of great moderation. We show the effects of three risk measures, domestic bank interest rates spread, US bank interest rates spread, and US market price of interest rate risk on the value of firms and on the cross-listing decision of firms destined to three major markets in North America, Asia and Europe. The systematic risk comes from US monetary policy, while the local and US bank interest rates spreads contain their respective financial intermediation risk premiums. We use firm-level data in 29 countries of cross-listing origin over a six year period, from 2000 to 2005. We find consistent and robust evidence that the US federal funds rate signal-to-noise ratio risk measure or market price of interest rate risk in the Sharpe sense provides an important benchmark for firm value across the universe of publicly traded companies.

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  • Marcelo Bianconi & Joe Akira Yoshino, 2015. "Firm value, investment and monetary policy," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(3), pages 262-289.
    • Handle: RePEc:ids:intjaf:v:5:y:2015:i:3:p:262-289
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    Cited by:

    1. Bianconi, Marcelo & Chen, Richard & Yoshino, Joe A., 2013. "Firm value, the Sarbanes-Oxley Act and cross-listing in the U.S., Germany and Hong Kong destinations," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 25-44.
    2. Marcelo Bianconi & Joe A. Yoshino & Mariana O. Machado de Sousa, 2011. "BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets," Discussion Papers Series, Department of Economics, Tufts University 0764, Department of Economics, Tufts University.

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