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Individual Stock Returns and Monetary Policy: Evidence from Japanese Data

Author

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  • Masahiko Shibamoto

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • Minoru Tachibana

    (School of Economics, Osaka Prefecture University, Japan)

Abstract

This paper examines the effects of Japanese monetary policy on individual firm's stock returns. Our objective is to test whether the firm-specific characteristics associated with the theories of monetary transmission mechanism can account for the heterogeneous responses of individual stock returns. We find that a 1% surprise cut in the call rate target increase stock returns by 3% for the firms with average values of all firm-specific variables, but that this effect is significantly larger for the firms with high capital intensity, low openness, high leverage, high interest payment burden, and low working capital.

Suggested Citation

  • Masahiko Shibamoto & Minoru Tachibana, 2010. "Individual Stock Returns and Monetary Policy: Evidence from Japanese Data," Discussion Paper Series DP2010-07, Research Institute for Economics & Business Administration, Kobe University.
  • Handle: RePEc:kob:dpaper:dp2010-07
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    More about this item

    Keywords

    Monetary policy; Stock returns; Heterogeneity;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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